Fourier volatility forecasting with high-frequency data and microstructure noise

DOI10.1080/14697680903413589MaRDI QIDQ2893211zbMATH OpenOpenAlexFDO

Authors Davide Magno, Maria Elvira Mancino, Emilio Barucci

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

derivatives pricingfinancial engineeringGARCH modelsmathematical financeMonte Carlo methodsnumerical methods for option pricingwavelets in finance

Mathematics Subject Classification ID

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

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Cites work

• A Tale of Two Time Scales
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Fourier series method for measurement of multivariate volatilities
• Modeling and Forecasting Realized Volatility
• 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

Cited in

(8)

• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
• Optimal design of Fourier estimator in the presence of microstructure noise
• A Fourier transform method for nonparametric estimation of multivariate volatility
• Forecasting return volatility in the presence of microstructure noise
• Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
• On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
• Exchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method
• Ultra high frequency volatility estimation with dependent microstructure noise

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