Edgeworth expansion for the pre-averaging estimator

DOI10.1016/j.spa.2017.03.001zbMath1381.60071arXiv1512.04716OpenAlexW2964180724MaRDI QIDQ2408996

Bezirgen Veliyev, Mark Podolskij, Nakahiro Yoshida

Publication date: 10 October 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.04716

zbMATH Keywords

diffusion processesEdgeworth expansionquadratic variationpre-averaginghigh frequency observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (6)

Edgeworth expansion for Euler approximation of continuous diffusion processes ⋮ High order asymptotic expansion for Wiener functionals ⋮ Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Order estimate of functionals related to fractional Brownian motion ⋮ Asymptotic expansion of Skorohod integrals

Cites Work

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• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Diffusions with measurement errors. II. Optimal estimators
• Validity of Edgeworth expansions for realized volatility estimators
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