TY - JOUR
AU - Zhang,Lan
AU - Mykland,Per A.
AU - Ait-Sahalia,Yacine
TI - Edgeworth Expansions for Realized Volatility and Related Estimators
JF - National Bureau of Economic Research Technical Working Paper Series
VL - No. 319
PY - 2005
Y2 - October 2005
DO - 10.3386/t0319
UR - http://www.nber.org/papers/t0319
L1 - http://www.nber.org/papers/t0319.pdf
N1 - Author contact info:
Lan Zhang
University of Chicago
E-Mail: lzhang@galton.uchicago.edu
Per Mykland
University of Chicago
E-Mail: mykland@pascal.uchicago.edu
Yacine Aït-Sahalia
Department of Economics
Bendheim Center for Finance
Princeton University
Princeton, NJ 08540
Tel: 609/258-4015
Fax: 609/258-0719
E-Mail: yacine@princeton.edu
AB - 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.
ER -