论文标题
Edgeworth校正点波动率估计器
Edgeworth corrections for spot volatility estimator
论文作者
论文摘要
我们开发了Edgeworth的扩展理论，用于在对数价格过程中的一般假设下，用于允许漂移和杠杆作用的一般假设。与现有的二阶渐近正态性结果相比，结果是基于对偏度和峰度的进一步估计。因此，我们的理论可以为斑点波动的有限样本分布提供改进结果。我们还使用Edgeworth扩展构建了可行的置信区间（单面和双面），以进行点波动。我们进行的蒙特卡洛模拟研究表明，基于Edgeworth扩展的间隔比基于正常近似的常规间隔更好，这证明了我们理论结论的正确性。
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 volatility by using Edgeworth expansion. The Monte Carlo simulation study we conduct shows that the intervals based on Edgeworth expansion perform better than the conventional intervals based on normal approximation, which justifies the correctness of our theoretical conclusion.
