---
title: Local Edgeworth Expansions
url: https://www.ml-quant.com/papers/ssrn/4747434/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4747434
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4747434
featured: 2024-03-06
citations: 1
topic: Derivatives & Volatility
---


# Local Edgeworth Expansions

The article introduces a mathematical model to estimate changes in level-volatility in a Brownian semimartingale, incorporating skewness and kurtosis through fluctuating correlations and volatility changes.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4747434
- Identifier: SSRN 4747434
- Released: 2024-03-04
- First featured: Quant Letter No. 39 (2024-03-06): https://www.ml-quant.com/issues/2024-03-06/
- Citations (Semantic Scholar): 1
- Published in: not yet
- Topic: Derivatives & Volatility

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