file.pdf (161.36 kB)

Edgeworth expansions in small noise asymptotics

Download (161.36 kB)
journal contribution
posted on 27.02.2013 by Lan Zhang, Per A. Mykland, Yacine Ait-Sahalia

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.

History

Publisher Statement

All Rights Reserved

Date

27/02/2013

Exports