Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications
DOI10.1142/9789812774637_0001zbMATH Open1108.62106OpenAlexW3123288294MaRDI QIDQ5487015FDOQ5487015
Authors: Paul Malliavin, Maria Elvira Mancino, Emilio Barucci 
Publication date: 18 September 2006
Published in: Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/9789812774637_0001
Recommendations
- Fourier series method for measurement of multivariate volatilities
- Asymptotic results for the Fourier estimator of the integrated quarticity
- A Fourier transform method for nonparametric estimation of multivariate volatility
- High-frequency volatility of volatility estimation free from spot volatility estimates
- On measuring volatility of diffusion processes with high frequency data
Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)
Cited In (4)
- Computation of volatility in stochastic volatility models with high frequency data
- Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
- Fourier series method for measurement of multivariate volatilities
- A Fourier transform method for nonparametric estimation of multivariate volatility
This page was built for publication: Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5487015)
