A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility
| Year of publication: |
2022
|
|---|---|
| Authors: | Hounyo, Ulrich ; Liu, Zhi ; Varneskov, Rasmus Tangsgaard |
| Publisher: |
[S.l.] : SSRN |
| Subject: | Bootstrap-Verfahren | Bootstrap approach | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
| Description of contents: |
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
|
freely available
| Extent: | 1 Online-Ressource (7 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 10, 2022 erstellt |
| Other identifiers: | 10.2139/ssrn.4187049 [DOI] |
| Classification: | C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; c58 ; G1 - General Financial Markets |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013492694