Edgeworth expansions for realized volatility and related estimators
Per A. Mykland and
Journal of Econometrics, 2011, vol. 160, issue 1, 190-203
This paper shows that the asymptotic normal approximation is often insufficiently accurate for volatility estimators based on high frequency data. To remedy this, we derive Edgeworth expansions for such estimators. The expansions are developed in the framework of small-noise asymptotics. The results have application to Cornish-Fisher inversion and help setting intervals more accurately than those relying on normal distribution.
Keywords: Bias; correction; Edgeworth; expansion; Market; microstructure; Martingale; Realized; volatility; Two; scales; realized; volatility (search for similar items in EconPapers)
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Working Paper: Edgeworth Expansions for Realized Volatility and Related Estimators (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:160:y:2011:i:1:p:190-203
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