126 citations · 127 across the 6 of their papers we have counts for
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q-fin.ST2022
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…
q-fin.ST2014★ 1 cited
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…