Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications

DOI10.1142/9789812774637_0001MaRDI QIDQ5487015zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Brownian semi-martingales

Mathematics Subject Classification ID

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)

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Cited in

(6)

• 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
• Fourier transform methods for pathwise covariance estimation in the presence of jumps
• Estimation of quarticity with high-frequency data
• A Fourier transform method for nonparametric estimation of multivariate volatility

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