Even moderate amounts of zero returns in financial data, associated with stale prices, are
heavily detrimental for reliable jump inference. We harness staleness-robust estimators to …

Realized multipower variation, originally introduced to eliminate jumps, can be extremely
useful for inference in pure-jump models. This article shows how to build a simple and …

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 …

We develop parametric inference procedures for large panels of noisy option data in a
setting, where the underlying process is of pure-jump type, ie, evolves only through a …

This article introduces a local Gaussian bootstrap method useful for the estimation of the
asymptotic distribution of high-frequency data-based statistics such as functions of realized …

We introduce a bootstrap procedure for high‐frequency statistics of Brownian semistationary
processes. More specifically, we focus on a hypothesis test on the roughness of sample …

This paper proposes a new nonparametric test for detecting short-lived locally explosive
trends (drift bursts) in pure-jump processes. The new test is designed specifically to detect …

We study inference for the local innovations of Itô semimartingales. Specifically, we construct
a resampling procedure for the empirical CDF of high-frequency innovations that have been …

Volatility functionals are widely used in financial econometrics. In the literature, they are
estimated with realized volatility functionals using high-frequency data. In this paper we …