A modified wild bootstrap procedure for Laplace transforms of volatility
针对波动率的已实现拉普拉斯变换，提出一种修正野自助法，证明其一阶渐近有效性，并解释标准野自助法为何导致不一致推断。
In this note, we propose a modified wild (MW) bootstrap-based procedure for the realized Laplace transform (RLT) of volatility. We establish its first-order asymptotic validity. • We propose a modified wild (MW) bootstrap-based procedure for the realized Laplace transform (RLT) of volatility. • We establish its first-order asymptotic validity. • We explain why standard wild bootstrap procedures deliver inconsistent inference for the RLT of volatility.