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...

This study examines the forecasting power of the most popular volatility forecasting models in the S&P 500 index market, the Eurodollar futures market, and the 30-year US T-Bond futures market at a daily level using a market-based option-pricing error approach. Comparison has been made between...