Edgeworth corrections for spot volatility estimator

DOI10.1016/j.spl.2020.108809zbMath1456.62247arXiv2007.11405OpenAlexW3025743207MaRDI QIDQ2006760

Zhi Liu, Lidan He, Qiang Liu

Publication date: 12 October 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.11405

zbMATH Keywords

central limit theoremconfidence intervalEdgeworth expansionhigh frequency dataspot volatility

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Related Items (1)

Uniform convergence rates for spot volatility estimation

Cites Work

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• Validity of Edgeworth expansions for realized volatility estimators
• NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
• The bootstrap and Edgeworth expansion

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