Fourier volatility forecasting with high-frequency data and microstructure noise
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Publication:2893211
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
Monte Carlo methods; derivatives pricing; financial engineering; mathematical finance; GARCH models; numerical methods for option pricing; wavelets in finance
91G70: Statistical methods; risk measures
62M15: Inference from stochastic processes and spectral analysis
65C05: Monte Carlo methods
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