Department of Economics and Business Economics

Edgeworth expansion for functionals of continuous diffusion processes

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  • rp13_33

    Submitted manuscript, 685 KB, PDF document

  • 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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages46
Publication statusPublished - 21 Oct 2013
SeriesCREATES Research Papers
Number2013-33

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