Fourier-Malliavin Volatility Estimation

DOI10.1007/978-3-319-50969-3MaRDI QIDQ2953881zbMATH OpenOpenAlexFDO

Authors Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici

Publication date 6 January 2017

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

Full work available at URL https://doi.org/10.1007/978-3-319-50969-3

zbMATH Keywords

Fourier methodsMalliavin calculusvolatility

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Statistical methods; risk measures (91G70)

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Cited in

(20)

• Applications of Fourier transform to smile modeling. Theory and implementation.
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
• Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
• Bias-optimal vol-of-vol estimation: the role of window overlapping
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
• Estimation of the stochastic leverage effect using the Fourier transform method
• Asymptotic results for the Fourier estimator of the integrated quarticity
• Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
• On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
• Malliavin-Mancino estimators implemented with nonuniform fast Fourier transforms
• Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
• Signature-Based Models: Theory and Calibration
• The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
• The SIML method without microstructure noise
• An empirical analysis of spot and forward interest rates in seven European countries via principal component analysis and the Malliavin-Mancino method
• Identifying the number of latent factors of stochastic volatility models
• Spot beta estimation with asynchronous noisy prices
• The Fourier estimator of volatility under coefficient explosions
• The Fourier-Malliavin volatility (FMVol) Matlab\(^{\circledR}\) library
• Detecting factors of quadratic variation in the presence of market microstructure noise

Describes a project that uses

Uses Software

• Matlab

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