Edgeworth Corrections for Realized Volatility

DOI10.1080/07474930701870420MaRDI QIDQ3539869zbMATH OpenOpenAlexFDO

Authors Sílvia Gonçalves, Nour Meddahi

Publication date 19 November 2008

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930701870420

zbMATH Keywords

confidence intervalsEdgeworth expansionsrealized volatility

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Validity of Edgeworth expansions for realized volatility estimators
• Edgeworth corrections for spot volatility estimator
• Edgeworth expansions for realized volatility and related estimators
• Bootstrapping Realized Volatility
• Bootstrapping realized multivariate volatility measures

Cites work

• A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
• A Tale of Two Time Scales
• A Theorem of Validity for Edgeworth Expansions
• Alternative models for stock price dynamics.
• Approximations for densities of sufficient estimators
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Bootstrap Methods for Time Series
• Conservative delta hedging.
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Edgeworth expansions for realized volatility and related estimators
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Financial options and statistical prediction intervals
• Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators
• Microstructure Noise, Realized Variance, and Optimal Sampling
• The bootstrap and Edgeworth expansion
• The Distribution of Realized Exchange Rate Volatility

Cited in

(10)

• Edgeworth corrections for spot volatility estimator
• Realized Volatility and Long Memory: An Overview
• Realized Volatility: A Review
• Validity of Edgeworth expansions for realized volatility estimators
• Volatility estimation and jump testing via realized information variation
• Bootstrapping realized multivariate volatility measures
• Bootstrapping pre-averaged realized volatility under market microstructure noise
• Correcting spot power variation estimator via Edgeworth expansion
• Empirical likelihood for high frequency data
• Edgeworth expansions for realized volatility and related estimators

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