Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 1059-1103
This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed‐span setting using … bootstrap inference achieves second‐order asymptotic refinements. Moreover, we provide new Laplace transform‐based estimators of …