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...

A substantial body of research suggests that it is difficult to account for all of the asset price volatility in terms of news. This paper attempts to explain the excess volatility puzzle as a consequence of competitive interaction between market participants. We develop a model of competitive...

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed-span setting using bootstrap methods. Specifically, since standard wild bootstraps provide inconsistent inference, we propose local Gaussian (LG) and modified wild (MW) bootstrap procedures, and...