126 citations · 127 across the 6 of their papers we have counts for
7 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…
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…
A fractional model for the COVID-19 pandemic: Application to Italian data
Elisa Alòs, Maria Elvira Mancino, Raúl Merino +1
We provide a probabilistic SIRD model for the COVID-19 pandemic in Italy, where we allow the infection, recovery and death rates to be random. In particular, the underlying random…
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…
The Fourier estimation method with positive semi-definite estimators
Jirô Akahori, Nien-Lin Liu, Maria Elvira Mancino +1
In this paper we present a slight modification of the Fourier estimation method of the spot volatility (matrix) process of a continuous Itô semimartingale where the estimators are…
A Fourier transform method for nonparametric estimation of multivariate volatility
Paul Malliavin, Maria Elvira Mancino
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatilit…