In this paper, we propose a nonparametric way to test the hypothesis that time-variation in
intraday volatility is caused solely by a deterministic and recurrent diurnal pattern. We …

Asymptotic bootstrap validity is usually understood as consistency of the distribution of a
bootstrap statistic, conditional on the data, for the unconditional limit distribution of a statistic …

This paper introduces a novel wild bootstrap for dependent data (WBDD) as a means of
calculating standard errors of estimators and constructing confidence regions for parameters …

This paper considers bootstrap inference in model averaging for predictive regressions. We
first show that the standard pairwise bootstrap is not valid in the context of model averaging …

We propose a bootstrap method for estimating the distribution (and functionals of it such as
the variance) of various integrated covariance matrix estimators. In particular, we first adapt …

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 …

The main contribution of this paper is to establish the formal validity of Edgeworth
expansions for realized volatility estimators. First, in the context of no microstructure effects …

For vector Itô semimartingale dynamics, we derive the asymptotic distributions of likelihood-
ratio-type test statistics for the purpose of identifying the eigenvalue structure of both …

The main contribution of this article is to propose bootstrap methods for realized volatility-like
estimators defined on pre-averaged returns. In particular, we focus on the pre-averaged …

We provide a new resampling procedure–the local stable bootstrap–that is able to mimic the
dependence properties of realized power variations for pure-jump semimartingales …