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most citedThe Yoccoz-Birkeland livestock population model coupled with random price dynamics

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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…