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)

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Cites Work

• Out of sample forecasts of quadratic variation
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• Modeling and Forecasting Realized Volatility
• A Tale of Two Time Scales