Rate-efficient asymptotic normality for the Fourier estimator of the leverage process

DOI10.4310/21-SII676MaRDI QIDQ2073567zbMATH OpenOpenAlexFDO

Authors Maria Elvira Mancino, Giacomo Toscano

Publication date 2 February 2022

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/21-sii676

zbMATH Keywords

Fourier analysisleverage effectstochastic volatility model

Mathematics Subject Classification ID

Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05)

Cited in

(6)

• The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
• The rough Hawkes Heston stochastic volatility model
• 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

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