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...

In this paper, we are concerned with testing for infinite variation jumps in addition to a continuous local martingale component driven by Brownian motion using high-frequency data. We developed a lack of fit type test based on the empirical distribution of the "devolatized" increments. Under...

In this paper, we find an approach to determine the number of common driving Brownian motions latent in the high dimensional Ito process using high frequency data. The high dimensional Ito process is first approximated locally on a shrinking block by discrete-time approximate factor model. We...