Edgeworth expansions in small noise asymptotics

Lan Zhang, Per A. Mykland, and Yacine Aït-Sahalia


The paper considers Edgeworth expansions for estimators of volatility. Unlike the usual exapsions, we have found that in order to obtain meaningful terms, one needs to let the size of the noise to go zero asymptotically. This is reflected in our expansions. The results have application to Cornish-Fisher inversion and bootstrapping.

KEY WORDS: Bootstrapping; Edgeworth expasion; Measurement error; Subsampling; Market Microstructure; Martingale; Bias-correction; Realized volatility

Heidi Sestrich 2005-06-10
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