Edgeworth expansion for the pre-averaging estimator

Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida

Papers from arXiv.org

Abstract: In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we obtain a second order expansion for the joint density of the estimators of quadratic variation and its asymptotic variance. Our approach is based on martingale embedding, Malliavin calculus and stable central limit theorems for continuous diffusions. Moreover, we derive the density expansion for the studentized statistic, which might be applied to construct asymptotic confidence regions.

Date: 2015-12
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http://arxiv.org/pdf/1512.04716 Latest version (application/pdf)

Related works:
Journal Article: Edgeworth expansion for the pre-averaging estimator (2017)
Working Paper: Edgeworth expansion for the pre-averaging estimator (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1512.04716

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