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 the literature, consistency of the estimates of the number of factors for both the discrete and continuous time factor models has been extensively studied recently. But the central limit theorem has long been unsolved. In this paper, alternative to the PCA-based approach, we construct a new...