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>