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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…
math.ST2009★ 126 cited
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…