Fourier volatility forecasting with high-frequency data and microstructure noise

DOI10.1080/14697680903413589zbMath1242.91210OpenAlexW2095229149MaRDI QIDQ2893211

Davide Magno, Maria Elvira Mancino, Emilio Basrucci

Publication date: 26 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903413589

zbMATH Keywords

Monte Carlo methodsderivatives pricingfinancial engineeringmathematical financeGARCH modelsnumerical methods for option pricingwavelets in finance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Related Items (3)

Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model ⋮ A Fourier transform method for nonparametric estimation of multivariate volatility ⋮ On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?

Cites Work

• Out of sample forecasts of quadratic variation
• Realized volatility forecasting and market microstructure noise
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
• Fourier series method for measurement of multivariate volatilities
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Modeling and Forecasting Realized Volatility
• A Tale of Two Time Scales

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