| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0319 |
| 来源ID | Technical Working Paper 0319 |
| Edgeworth Expansions for Realized Volatility and Related Estimators | |
| Lan Zhang; Per A. Mykland; Yacine Ait-Sahalia | |
| 发表日期 | 2005-10-31 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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 to Cornish-Fisher inversion and bootstrapping. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0319 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569369 |
| 推荐引用方式 GB/T 7714 | Lan Zhang,Per A. Mykland,Yacine Ait-Sahalia. Edgeworth Expansions for Realized Volatility and Related Estimators. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0319.pdf（742KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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