Validity of Edgeworth expansions for realized volatility estimators

DOI10.1111/ECTJ.12058OpenAlexW2255974359MaRDI QIDQ5093928

Bezirgen Veliyev, Ulrich Hounyo

Publication date: 2 August 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/86544932/rp15_21.pdf

zbMATH Keywords

bootstrapconfidence intervalsEdgeworth expansionsrealized volatilitypre-averaging

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (6)

Edgeworth expansion for the pre-averaging estimator ⋮ BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE ⋮ A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA ⋮ Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading ⋮ Edgeworth corrections for spot volatility estimator ⋮ Volatility Estimation and Jump Testing via Realized Information Variation

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