Department of Economics and Business Economics

Edgeworth expansion for the pre-averaging estimator

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In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we obtain a second order expansion for the joint density of the estimators of quadratic variation and its asymptotic variance. Our approach is based on martingale embedding, Malliavin calculus and stable central limit theorems for continuous diffusions. Moreover, we derive the density expansion for the studentized statistic, which might be applied to construct asymptotic confidence regions.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages36
Publication statusPublished - 15 Dec 2015
SeriesCREATES Research Papers
Number2015-60

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