Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data
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DOI: 10.1371/journal.pone.0139041
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Citations
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Cited by:
- Maria Elvira Mancino & Tommaso Mariotti & Giacomo Toscano, 2022. "Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise," Papers 2209.08967, arXiv.org.
- Sanfelici, Simona & Toscano, Giacomo, 2024. "The Fourier–Malliavin Volatility (FMVol) MATLAB® library," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 226(C), pages 338-353.
- Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang, 2019. "Volatility and volatility-linked derivatives: estimation, modeling, and pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 321-349, December.
- Alessio Brini & Giacomo Toscano, 2024. "SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks," Papers 2401.06249, arXiv.org, revised Jan 2025.
- Recchioni, Maria Cristina & Tedeschi, Gabriele, 2017. "From bond yield to macroeconomic instability: A parsimonious affine model," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1116-1135.
- M.E. Mancino & S. Scotti & G. Toscano, 2020.
"Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(4), pages 288-316, July.
- Maria Elvira Mancino & Simone Scotti & Giacomo Toscano, 2020. "Is the variance swap rate affine in the spot variance? Evidence from S&P500 data," Papers 2004.04015, arXiv.org.
- Simona Sanfelici & Giacomo Toscano, 2024. "The Fourier-Malliavin Volatility (FMVol) MATLAB library," Papers 2402.00172, arXiv.org.
- Curato, Imma Valentina & Mancino, Maria Elvira & Recchioni, Maria Cristina, 2018. "Spot volatility estimation using the Laplace transform," Econometrics and Statistics, Elsevier, vol. 6(C), pages 22-43.
- Patrick Chang, 2020. "Fourier instantaneous estimators and the Epps effect," Papers 2007.03453, arXiv.org, revised Sep 2020.
- Richard Y. Chen, 2019. "The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations," Papers 1911.02205, arXiv.org.
- Maria Cristina Recchioni & Gabriele Tedeschi, 2016. "From bond yield to macroeconomic instability: The effect of negative interest rates," Working Papers 2016/06, Economics Department, Universitat Jaume I, Castellón (Spain).
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