Edgeworth expansions for realized volatility and related estimators
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Cites work
- scientific article; zbMATH DE number 45789 (Why is no real title available?)
- scientific article; zbMATH DE number 5198657 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
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Cited in
(27)- High frequency market microstructure noise estimates and liquidity measures
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Edgeworth expansion for the pre-averaging estimator
- Edgeworth expansions for volatility models
- Bootstrapping pre-averaged realized volatility under market microstructure noise
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- Cornish-Fisher expansions about the \(F\)-distribution
- Edgeworth corrections for spot volatility estimator
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Estimation of the realized (co-)volatility vector: large deviations approach
- Ultra high frequency volatility estimation with dependent microstructure noise
- Bootstrapping realized multivariate volatility measures
- Sequential Monte Carlo methods for stochastic volatility models: a review
- A fuzzy multifactor asset pricing model
- Economic neutral position: how to best replicate not fully replicable liabilities?
- Empirical likelihood for high frequency data
- Expansions about the gamma for the distribution and quantiles of a standard estimate
- Edgeworth Corrections for Realized Volatility
- Orthogonal expansions for VIX options under affine jump diffusions
- Validity of Edgeworth expansions for realized volatility estimators
- Fast convergence rates in estimating large volatility matrices using high-frequency financial data
- Out of sample forecasts of quadratic variation
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Edgeworth expansion for functionals of continuous diffusion processes
- Edgeworth-Cornish-Fisher-Hill-Davis expansions for normal and non-normal limits via Bell polynomials
- Large deviations of realized volatility
- Estimating covariation: Epps effect, microstructure noise
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