Edgeworth expansions for realized volatility and related estimators

Journal of Econometrics

Volumn 160, Issue 1, 2011, Pages 190-203

  Zhang, Lan ^a   Mykland, Per A ^b   At Sahalia, Yacine ^c  

^a UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

^c PRINCETON UNIVERSITY   (United States)

Author keywords

Bias correction; Edgeworth expansion; Market microstructure; Martingale; Realized volatility; Two scales realized volatility

Indexed keywords

BIAS CORRECTION; EDGEWORTH EXPANSION; MARKET MICROSTRUCTURES; MARTINGALE; REALIZED VOLATILITY;

ASYMPTOTIC ANALYSIS; ESTIMATION; FREQUENCY ESTIMATION; MICROSTRUCTURE; NORMAL DISTRIBUTION;

EXPANSION;

EID: 78649738939     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.030     Document Type: Conference Paper

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