2 citations · 2 across the 3 of their papers we have counts for
3 papers
Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix
Jirô Akahori, Nien-Lin Liu, Maria Elvira Mancino +2
In this paper we propose an estimator of spot covariance matrix which ensure symmetric positive semi-definite estimations. The proposed estimator relies on a suitable modification…
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…