Edgeworth Expansions for Realized Volatility and Related Estimators

By Lan Zhang, Per Aslak Mykland, Yacine Aït-Sahalia. 2011

63 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/0594a0b975e29cf1364c416f2127597e11f9c807

Citations in the corpus

• Outlyingness weighted covariation (2011, unknown): “Similar findings for the RCov have been documented in Barndorff-Nielsen and Shephard (2004a, 2005), Dovonon et al. (2011), Gonçalves and Meddahi (2009), Huang and Tauchen (2006), Veraart (2010) and Zhang et al. (2011), among others.”
• Estimating Covariation: Epps Effect, Microstructure Noise (2011, unknown): “Its estimation error follows a mixed normal distribution, see, for example, Jacod and Protter (1998), Barndorff-Nielsen and Shephard (2002), Zhang (2001) , and Mykland and Zhang (2006).”