Edgeworth Expansions for Realized Volatility and Related Estimators
Per A. Mykland and
No 319, NBER Technical Working Papers from National Bureau of Economic Research, Inc
This paper shows that the asymptotic normal approximation is often insufficiently accurate for volatility estimators based on high frequency data. To remedy this, we compute Edgeworth expansions for such estimators. Unlike the usual expansions, we have found that in order to obtain meaningful terms, one needs to let the size of the noise to go zero asymptotically. The results have application to Cornish-Fisher inversion and bootstrapping.
JEL-codes: C13 C14 C15 C22 (search for similar items in EconPapers)
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Journal Article: Edgeworth expansions for realized volatility and related estimators (2011)
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