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Zhang, L., Mykland, P. A. and Y. Aït-Sahalia (2011) Edgeworth expansions for realized volatility and related estimators, Journal of Econometrics, 160, 190-203 University of Applied Sciences and Arts of Italian Switzerland, Galleria 2 - 100 Via Cantonale 6928, Manno, CH E-mail address: lorenzo.camponovo@supsi.ch Graduate School of Economics, Hitotsubashi University, 2-1 Naka, Kunitachi, Tokyo 186-8601, Japan. E-mail address: matsushita.y@r.hit-u.ac.jp Department of Economics, London School of Economics, Houghton Street, London, WC2A 2AE, UK. E-mail address: t.otsu@lse.ac.uk