Continuous record Laplace-based inference about the break date in structural change models
Building upon the continuous record asymptotic framework recently introduced by Casini
and Perron (2020a) for inference in structural change models, we propose a Laplace-based …
and Perron (2020a) for inference in structural change models, we propose a Laplace-based …
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Jumps and market microstructure noise are stylized features of high-frequency financial
data. It is well known that they introduce bias in the estimation of volatility (including …
data. It is well known that they introduce bias in the estimation of volatility (including …
[HTML][HTML] A modified wild bootstrap procedure for Laplace transforms of volatility
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.
Laplace transform (RLT) of volatility. We establish its first-order asymptotic validity.
[PDF][PDF] Bootstrapping Laplace Transforms of Volatility: Supplementary Appendix
U Hounyo, Z Liu, RT Varneskov - Available at SSRN 4414552, 2023 - papers.ssrn.com
This online appendix complements the main text, Hounyo, Liu & Varneskov (2022), and it is
organized as follows. In Section S2, we introduce additional notation. Section S3 provides …
organized as follows. In Section S2, we introduce additional notation. Section S3 provides …
[PDF][PDF] A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility1
R Varneskov, U Hounyo, Z Liu - Available at SSRN 4427186, 2023 - papers.ssrn.com
A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility Page 1 A Modified
Wild Bootstrap Procedure for Laplace Transforms of Volatility ∗ Ulrich Hounyo † Zhi Liu ‡ …
Wild Bootstrap Procedure for Laplace Transforms of Volatility ∗ Ulrich Hounyo † Zhi Liu ‡ …
Large Deviation Principles of Realized Laplace Transform of Volatility
X Feng, L He, Z Liu - Journal of Theoretical Probability, 2022 - Springer
Under the scenario of high-frequency data, a consistent estimator of the realized Laplace
transform of volatility is proposed by Todorov and Tauchen (Econometrica 80: 1105–1127 …
transform of volatility is proposed by Todorov and Tauchen (Econometrica 80: 1105–1127 …