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Edgeworth corrections for spot volatility estimator
[article]
2020
arXiv
pre-print
We develop Edgeworth expansion theory for spot volatility estimator under general assumptions on the log-price process that allow for drift and leverage effect. The result is based on further estimation of skewness and kurtosis, when compared with existing second order asymptotic normality result. Thus our theory can provide with a refinement result for the finite sample distribution of spot volatility. We also construct feasible confidence intervals (one-sided and two-sided) for spot
arXiv:2007.11405v1
fatcat:2lmubcocwrgynp2yhmiztawxra