Validity of Edgeworth expansions for realized volatility estimators
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Publication:5093928
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
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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