Edgeworth expansions for realized volatility and related estimators
نویسندگان
چکیده
منابع مشابه
Edgeworth Expansions for Realized Volatility and Related Estimators
This paper shows that the asymptotic normal approximation is often insufficiently accurate for volatility estimators based on high frequency data. To remedy this, we compute Edgeworth expansions for such estimators. 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. The results have application t...
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The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes price and is uniform in bounded payoff functions. The result provides a validation of an existing singular perturbation expansion formula for the fast mean re...
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Edgeworth expansions for sums of independent but not identically distributed multivariate random vectors are established. The results are applied to get valid Edgeworth expansions for estimates of regression parameters in linear errors-invariable models. The expansions for studentized versions are also developed. Further, Edgeworth expansions for the corresponding bootstrapped statistics are ob...
متن کاملTilted Edgeworth Expansions for Asymptotically Normal Vectors
We obtain the Edgeworth expansion for P (n1/2(θ̂− θ) < x) and its derivatives, and the tilted Edgeworth (or saddlepoint or small sample) expansion for P (θ̂ < x) and its derivatives where θ̂ is any vector estimate having the standard cumulant expansions in powers of n−1. AMS 2000 Subject Classification: Primary 60F10; Secondary 62F05.
متن کاملRearranging Edgeworth- Cornish-Fisher Expansions
This paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and any other related approximations of distribution and quantile functions of sample statistics. Besides satisfying the logical monotonicity, required of distribution and quantile functions, the procedure often delivers strikingly better approximations to the dist...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2011
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2010.03.030