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Edgeworth corrections for spot volatility estimator
He,Lidan1; Liu,Qiang2; Liu,Zhi1
Source PublicationStatistics and Probability Letters
ABS Journal Level2

We develop Edgeworth expansion theory for spot volatility estimator under general assumptions on the log-price process that allow for drift and leverage effect. The result is based on further estimation of skewness and kurtosis, when compared with existing second order asymptotic normality result. Thus our theory can provide with a refinement result for the finite sample distribution of spot volatility. We also construct feasible confidence intervals (one-sided and two-sided) for spot volatility by using Edgeworth expansion. The Monte Carlo simulation study we conduct shows that the intervals based on Edgeworth expansion perform better than the conventional intervals based on normal approximation, which justifies the correctness of our theoretical conclusion.

KeywordCentral Limit Theorem Confidence Interval Edgeworth Expansion High Frequency Data Spot Volatility
URLView the original
Indexed BySCIE ; SSCI
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000543294700013
Scopus ID2-s2.0-85084417016
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Document TypeJournal article
Corresponding AuthorLiu,Qiang
Affiliation1.Department of Mathematics,University of Macau,Macao
2.Department of Mathematics,National University of Singapore,Singapore
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
He,Lidan,Liu,Qiang,Liu,Zhi. Edgeworth corrections for spot volatility estimator[J]. Statistics and Probability Letters,2020,164.
APA He,Lidan,Liu,Qiang,&Liu,Zhi.(2020).Edgeworth corrections for spot volatility estimator.Statistics and Probability Letters,164.
MLA He,Lidan,et al."Edgeworth corrections for spot volatility estimator".Statistics and Probability Letters 164(2020).
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