A modified wild bootstrap procedure for Laplace transforms of volatility

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-02-01 DOI:10.1016/j.econlet.2025.112177

Ulrich Hounyo , Zhi Liu , Rasmus T. Varneskov

引用次数: 0

Abstract

In this note, we propose a modified wild (MW) bootstrap-based procedure for the realized Laplace transform (RLT) of volatility. We establish its first-order asymptotic validity.

查看原文本刊更多论文

求助全文

约1分钟内获得全文求助全文

来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.