Edgeworth expansions for volatility models

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Abstract

Motivated from option and derivative pricing, this note develops Edgeworth expansions both in the Kolmogorov and Wasserstein metric for many different types of discrete time volatility models and their possible transformations. This includes, among others, Hölder-type functions of (augmented) Garch processes of any order, iterated random functions or Volterra-processes.
Original languageEnglish
Pages (from-to)1-18
Number of pages18
JournalElectronic Journal of Probability
Volume28
DOIs
Publication statusPublished - 18 Dec 2023

Austrian Fields of Science 2012

  • 101018 Statistics

Keywords

  • edgeworth expansions
  • Garch
  • volatility models
  • weak dependence

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