This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed‐span setting using bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local Gaussian (LG) bootstrap, establish its first‐order...

This paper examines the applicability of the bootstrap approach to test for irrelevant risk factors that are potentially useless in misspecified linear stochastic discount factor (SDF) models. In the literature, the misspecification-robust inference with useless factors is known to give rise...