Bootstrapping Laplace Transforms of Volatility

发布时间：2021-09-13 作者：77779193永利官网浏览次数：

Speaker:	刘志	DateTime:	2021年9月22日（周三）上午10：00 - 11：00
Brief Introduction to Speaker: 刘志，澳门大学。		Place:	腾讯会议，会议号联系晏挺老师
Abstract:This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed-spansetting using bootstrap methods. Specifically, since standard wild bootstraps provide inconsistentinference, we propose local Gaussian (LG) and modified wild (MW) bootstrap procedures, establishtheir first-order asymptotic validity, and use Edgeworth expansions to show that the LG inferenceachieves second-order asymptotic refinements. Moreover, we provide new Laplace transform-basedestimators of the spot variance as well as the covariance, correlation and beta between two semi-martingales,and adapt our inference procedures to the requisite scenario.