Hounyo, Ulrich; Veliyev, Bezirgen - School of Economics and Management, University of Aarhus - 2015
The main contribution of this paper is to establish the formal validity of Edgeworth expansions for realized volatility … realized volatility derived in Gonalves and Meddahi (2009). Second, we show that the validity of the Edgeworth expansions for … realized volatility may not cover the optimal two-point distribution wild bootstrap proposed by Gonçalves and Meddahi (2009 …