Fourier-Malliavin Volatility Estimation

DOI10.1007/978-3-319-50969-3zbMath1416.91005OpenAlexW4246260398MaRDI QIDQ2953881

Maria Cristina Recchioni, Maria Elvira Mancino, Simona Sanfelici

Publication date: 6 January 2017

Published in: SpringerBriefs in Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-50969-3

zbMATH Keywords

Malliavin calculusvolatilityFourier methods

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (11)

Detecting factors of quadratic variation in the presence of market microstructure noise ⋮ Bias-optimal vol-of-vol estimation: the role of window overlapping ⋮ Volatility of volatility: estimation and tests based on noisy high frequency data with jumps ⋮ On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? ⋮ Signature-Based Models: Theory and Calibration ⋮ Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms ⋮ The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times ⋮ Estimation of the stochastic leverage effect using the Fourier transform method ⋮ Asymptotic results for the Fourier estimator of the integrated quarticity ⋮ Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data ⋮ Local SIML estimation of some Brownian and jump functionals under market micro-structure noise

Uses Software

• Matlab

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