Edgeworth expansion for functionals of continuous diffusion processes

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  • rp13_33

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  • Mark Podolskij
  • Nakahiro Yoshida, Tokyo Graduate School of Mathematical Science, Japan
This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the Edgeworth expansion for power variation of diffusion processes. Our methodology relies on martingale embedding, Malliavin calculus and stable central limit theorems for semimartingales. Finally, we demonstrate the density expansion for studentized statistics of power variations.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider46
StatusUdgivet - 21 okt. 2013
SerietitelCREATES Research Papers
Nummer2013-33

    Forskningsområder

  • diffusion processes, Edgeworth expansion, high frequency observations, power variation

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