2 citations · 3 across the 5 of their papers we have counts for
6 papers
The Fourier-Malliavin Volatility (FMVol) MATLAB library
Simona Sanfelici, Giacomo Toscano
This paper presents the Fourier-Malliavin Volatility (FMVol) estimation library for MATLAB. This library includes functions that implement Fourier- Malliavin estimators (see Mallia…
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…
From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution
Tommaso Mariotti, Fabrizio Lillo, Giacomo Toscano
The estimation of the volatility with high-frequency data is plagued by the presence of microstructure noise, which leads to biased measures. Alternative estimators have been devel…
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts
Giacomo Toscano, Giulia Livieri, Maria Elvira Mancino +1
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation…
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…
Bias optimal vol-of-vol estimation: the role of window overlapping
Giacomo Toscano, Maria Cristina Recchioni
We derive a feasible criterion for the bias-optimal selection of the tuning parameters involved in estimating the integrated volatility of the spot volatility via the simple realiz…