Edgeworth Expansions for Realized Volatility and Related Estimators
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This paper shows that the asymptotic normal approximation is often insufficiently accurate for volatility estimators based on high frequency data. To remedy this, we compute Edgeworth expansions for such estimators. Unlike the usual expansions, we have found that in order to obtain meaningful terms,
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美国国家经济研究局创建时间：
2005-10-01
