Edgeworth expansions for realized volatility and related estimators

DOI10.1016/j.jeconom.2010.03.030zbMath1441.62912OpenAlexW2037235119MaRDI QIDQ737276

Lan Zhang, Yacine Aït-Sahalia, Per Aslak Mykland

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/t0319.pdf

zbMATH Keywords

martingaleEdgeworth expansionbias correctionmarket microstructurerealized volatilitytwo scales realized volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44)

Related Items (22)

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