Edgeworth expansion for functionals of continuous diffusion processes

Mark Podolskij () and Nakahiro Yoshida ()
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Mark Podolskij: Heidelberg University and CREATES, Postal: Department of Mathematics, 69120 Heidelberg, Germany
Nakahiro Yoshida: Graduate School of Mathematical Science, Postal: 3-8-1 Komaba, Meguro-ku, Tokyo 153, Japan

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the Edgeworth expansion for power variation of diffusion processes. Our methodology relies on martingale embedding, Malliavin calculus and stable central limit theorems for semimartingales. Finally, we demonstrate the density expansion for studentized statistics of power variations.

Keywords: diffusion processes; Edgeworth expansion; high frequency observations; power variation. (search for similar items in EconPapers)
JEL-codes: C10 C13 C14 (search for similar items in EconPapers)
Pages: 46
Date: 2013-10-21
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2013-33

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