Department of Economics and Business Economics

Edgeworth expansion for the pre-averaging estimator

Research output: Working paperResearch

Standard

Edgeworth expansion for the pre-averaging estimator. / Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

Research output: Working paperResearch

Harvard

Podolskij, M, Veliyev, B & Yoshida, N 2015 'Edgeworth expansion for the pre-averaging estimator' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Podolskij, M., Veliyev, B., & Yoshida, N. (2015). Edgeworth expansion for the pre-averaging estimator. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2015-60

CBE

Podolskij M, Veliyev B, Yoshida N. 2015. Edgeworth expansion for the pre-averaging estimator. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Podolskij, Mark, Bezirgen Veliyev and Nakahiro Yoshida Edgeworth expansion for the pre-averaging estimator. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2015-60). 2015., 36 p.

Vancouver

Podolskij M, Veliyev B, Yoshida N. Edgeworth expansion for the pre-averaging estimator. Aarhus: Institut for Økonomi, Aarhus Universitet. 2015 Dec 15.

Author

Podolskij, Mark ; Veliyev, Bezirgen ; Yoshida, Nakahiro. / Edgeworth expansion for the pre-averaging estimator. Aarhus : Institut for Økonomi, Aarhus Universitet, 2015. (CREATES Research Papers; No. 2015-60).

Bibtex

@techreport{8792d88ce49246699539f21ae2cd7cc7,
title = "Edgeworth expansion for the pre-averaging estimator",
abstract = "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.",
keywords = "diffusion processes, Edgeworth expansion, high frequency observations, quadratic variation, pre-averaging",
author = "Mark Podolskij and Bezirgen Veliyev and Nakahiro Yoshida",
year = "2015",
month = dec,
day = "15",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2015-60",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Edgeworth expansion for the pre-averaging estimator

AU - Podolskij, Mark

AU - Veliyev, Bezirgen

AU - Yoshida, Nakahiro

PY - 2015/12/15

Y1 - 2015/12/15

N2 - 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.

AB - 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.

KW - diffusion processes, Edgeworth expansion, high frequency observations, quadratic variation, pre-averaging

M3 - Working paper

T3 - CREATES Research Papers

BT - Edgeworth expansion for the pre-averaging estimator

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -