Edgeworth expansions for realized volatility and related estimators-Reference-Cited by-同舟云学术

Edgeworth expansions for realized volatility and related estimators

Published:2011-01 Issue:1 Volume:160 Page:190-203
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Zhang Lan,Mykland Per A.,Aït-Sahalia Yacine

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference45 articles.

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4. Awartani, B., Corradi, V., Distaso, W., 2006. Testing and modelling microstructure effects with an application to the Dow Jones industrial average. Working Paper. University of Warwick.

5. Microstructure noise, realized volatility and optimal sampling;Bandi;Review of Economic Studies,2008

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