1 citations · 1 across the 3 of their papers we have counts for
2 papers
q-fin.ST2022
Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise
Maria Elvira Mancino, Tommaso Mariotti, Giacomo Toscano
The main contribution of the paper is proving that the Fourier spot volatility estimator introduced in [Malliavin and Mancino, 2002] is consistent and asymptotically efficient if t…
q-fin.MF2020
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data
Maria Elvira Mancino, Simone Scotti, Giacomo Toscano
We empirically investigate the functional link between the variance swap rate and the spot variance. Using S\&P500 data over the period 2006-2018, we find overwhelming empirical ev…