High-frequency volatility of volatility estimation free from spot volatility estimates
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Publication:4619498
DOI10.1080/14697688.2015.1032542zbMath1406.91451OpenAlexW3125897543MaRDI QIDQ4619498
Maria Elvira Mancino, Simona Sanfelici, Imma Valentina Curato
Publication date: 6 February 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2015.1032542
Related Items (6)
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 ⋮ Volatility of volatility and leverage effect from options ⋮ Estimation of the stochastic leverage effect using the Fourier transform method ⋮ Testing for jumps based on high-frequency data: a method exploiting microstructure noise ⋮ Asymptotic results for the Fourier estimator of the integrated quarticity
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