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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…
q-fin.ST2014
Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
Nien-Lin Liu, Hoang-Long Ngo
In order to study the geometry of interest rates market dynamics, Malliavin, Mancino and Recchioni [A non-parametric calibration of the HJM geometry: an application of Itô calculus…