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 asymptotic validity, and use Edgeworth expansions to show that the LG …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component … of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two …

bootstrap resampling technique. The method is illustrated on S&P 500 index data. -- Identification, Bootstrap, Diffusion …