Edgeworth expansions for realized volatility and related estimators
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Publication:737276
DOI10.1016/J.JECONOM.2010.03.030zbMATH Open1441.62912OpenAlexW2037235119MaRDI QIDQ737276FDOQ737276
Authors: Lan Zhang, Yacine Aït-Sahalia, Per Aslak Mykland 
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/t0319.pdf
Recommendations
Edgeworth expansionmartingalebias correctionrealized volatilitymarket microstructuretwo scales realized volatility
Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44)
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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 expansions for volatility models
- Edgeworth expansion for the pre-averaging estimator
- Bootstrapping pre-averaged realized volatility under market microstructure noise
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- Edgeworth corrections for spot volatility estimator
- Cornish-Fisher expansions about the \(F\)-distribution
- 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
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Out of sample forecasts of quadratic variation
- 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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