activity
20202024
most citedFrom Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution

2 citations · 3 across the 5 of their papers we have counts for

collaborators
Showing math.STShow all

1 paper · 1 filter

math.ST2021

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…