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Edgeworth Expansions for Realized Volatility and Related Estimators / Lan Zhang, Per A. Mykland, Yacine Ait-Sahalia.
- Format:
- Book
- Author/Creator:
- Zhang, Lan.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0319.
- NBER technical working paper series no. t0319
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2005.
- Summary:
- 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.
- Notes:
- Print version record
- October 2005.
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