Fourier volatility forecasting with high-frequency data and microstructure noise

DOI10.1080/14697680903413589zbMath1242.91210MaRDI 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 methods; derivatives pricing; financial engineering; mathematical finance; GARCH models; numerical methods for option pricing; wavelets in finance

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

62M15: Inference from stochastic processes and spectral analysis

65C05: Monte Carlo methods

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Cites Work

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• A Tale of Two Time Scales