Abstract
We present the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we derive a second order expansion for the joint density of the estimators of quadratic variation and its asymptotic variance. The methodology relies on martingale embedding, Malliavin calculus and stable central limit theorems for continuous diffusions. Finally, we demonstrate the density expansion for the studentized statistic, which might be applied to construct asymptotic confidence regions.

CREATES arranges lunch seminars on a regular basis, normally on Tuesdays. The speakers are usually CREATES members, mostly PhD-students and postdocs. The speakers can also be visiting PhD-students or professors.

Each lunch seminar is followed by a discussion of the paper presented.

Organizers: Anders Bredahl Kock and Cristina Amado.

Place: CREATES meeting room, M303, building 2628 (M)

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