Correcting spot power variation estimator via Edgeworth expansion
From MaRDI portal
Publication:6622513
DOI10.1007/s00184-023-00935-zMaRDI QIDQ6622513
Could not fetch data.
Publication date: 22 October 2024
Published in: Metrika (Search for Journal in Brave)
Could not fetch data.
Cites Work
- Unnamed Item
- Estimation of the instantaneous volatility
- Spot volatility estimation for high-frequency data
- Testing for jumps in a discretely observed process
- A general version of the fundamental theorem of asset pricing
- The Edgeworth expansion for U-statistics of degree two
- Edgeworth corrections for spot volatility estimator
- Estimating spot volatility with high-frequency financial data
- Asymptotic properties of realized power variations and related functionals of semimartingales
- The Realized Laplace Transform of Volatility
- Normal Approximation and Asymptotic Expansions
- Edgeworth Corrections for Realized Volatility
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Bootstrapping Realized Volatility
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- Financial Modelling with Jump Processes
- Rate efficient estimation of realized Laplace transform of volatility with microstructure noise
- Modeling and Forecasting Realized Volatility
- Rates of Weak Convergence and Asymptotic Expansions for Classical Central Limit Theorems
- The bootstrap and Edgeworth expansion
This page was built for publication: Correcting spot power variation estimator via Edgeworth expansion
