A Fourier transform method for nonparametric estimation of multivariate volatility

DOI10.1214/08-AOS633zbMath1168.62030arXiv0908.1890MaRDI QIDQ2388987

Maria Elvira Mancino, Paul Malliavin

Publication date: 22 July 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.1890

zbMATH Keywords

Fourier transformnonparametric estimationhigh frequency datacontinuous semi-martingaleinstantaneous co-volatility

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

Related Items (47)

Detecting factors of quadratic variation in the presence of market microstructure noise ⋮ Optimal design of Fourier estimator in the presence of microstructure noise ⋮ An integrated cross-volatility estimation for asynchronous noisy data ⋮ Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term ⋮ Bias-optimal vol-of-vol estimation: the role of window overlapping ⋮ Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation ⋮ Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading ⋮ On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? ⋮ Unnamed Item ⋮ Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis ⋮ Monte Carlo calibration to implied volatility surface under volatility models ⋮ Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling ⋮ Adaptive robust large volatility matrix estimation based on high-frequency financial data ⋮ On the data-driven COS method ⋮ Copula estimation for nonsynchronous financial data ⋮ From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution ⋮ Asymptotically efficient estimation for diffusion processes with nonsynchronous observations ⋮ Zero-intelligence realized variance estimation. ⋮ Parametric estimation for discretely observed stochastic processes with jumps ⋮ High-frequency volatility of volatility estimation free from spot volatility estimates ⋮ Fourier transform methods for pathwise covariance estimation in the presence of jumps ⋮ A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data ⋮ Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms ⋮ Structured volatility matrix estimation for non-synchronized high-frequency financial data ⋮ Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise ⋮ An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps ⋮ Limit theorems in the Fourier transform method for the estimation of multivariate volatility ⋮ Estimation of the stochastic leverage effect using the Fourier transform method ⋮ COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA ⋮ Nonparametric estimation of jump diffusion models ⋮ An Unbiased Measure of Integrated Volatility in the Frequency Domain ⋮ Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error ⋮ Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods ⋮ Testing for jumps based on high-frequency data: a method exploiting microstructure noise ⋮ Estimation of volatility in a high-frequency setting: a short review ⋮ Asymptotic results for the Fourier estimator of the integrated quarticity ⋮ Functional data analysis for volatility ⋮ Confidence interval for correlation estimator between latent processes ⋮ Estimation of Correlation Between Latent Processes ⋮ Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise ⋮ ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING ⋮ VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS ⋮ Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data ⋮ Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient ⋮ Spot volatility estimation using delta sequences ⋮ Local SIML estimation of some Brownian and jump functionals under market micro-structure noise ⋮ Estimation of quarticity with high-frequency data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• ANOVA for diffusions and Itō processes
• Estimating covariation: Epps effect, microstructure noise
• Realized volatility forecasting and market microstructure noise
• A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Instantaneous liquidity rate, its econometric measurement by volatility feedback
• On covariance estimation of non-synchronously observed diffusion processes
• Fourier series method for measurement of multivariate volatilities
• Stochastic calculus of variations in mathematical finance.
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Long memory in continuous-time stochastic volatility models
• Fourier volatility forecasting with high-frequency data and microstructure noise
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Nonparametric Estimation Methods of Integrated Multivariate Volatilities
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• On estimating the diffusion coefficient from discrete observations
• The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• The Distribution of Realized Exchange Rate Volatility
• Nonparametric Pricing of Interest Rate Derivative Securities
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• Fully Nonparametric Estimation of Scalar Diffusion Models
• The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
• A Tale of Two Time Scales
• Classes de saturation de certains procédés d'approximation des séries de Fourier des fonctions continues et applications à quelques problèmes d'approximation

This page was built for publication: A Fourier transform method for nonparametric estimation of multivariate volatility