10.1184/R1/6586580.v1
Lan Zhang
Lan
Zhang
Per A. Mykland
Per A.
Mykland
Yacine Ait-Sahalia
Yacine
Ait-Sahalia
Edgeworth expansions in small noise asymptotics
Carnegie Mellon University
2013
Bootstrapping
Edgeworth expasion
Measurement error
Subsampling
Market Microstructure
Martingale
Bias-correction
Realized volatility
2013-02-27 00:00:00
Journal contribution
https://kilthub.cmu.edu/articles/journal_contribution/Edgeworth_expansions_in_small_noise_asymptotics/6586580
<p>The paper considers Edgeworth expansions for estimators of volatility. Unlike the usual expansions, we have found that in order to obtain meaningful terms, one needs to let the size of the noise to go zero asymptotically. This is reflected in our expansions. The results have application to Cornish-Fisher inversion and bootstrapping.</p>