posted on 2013-02-27, 00:00authored byLan 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.