Masuda, H.; Yoshida, N. - In: Stochastic Processes and their Applications 115 (2005) 7, pp. 1167-1186
With the help of a general methodology of asymptotic expansions for mixing processes, we obtain the Edgeworth expansion for log-returns of a stock price process in Barndorff-Nielsen and Shephard's stochastic volatility model, in which the latent volatility process is described by a stationary...