Fourier-Malliavin volatility estimation [electronic resource] : theory and practice /
Mancino, Maria Elvira.author.
Recchioni, Maria Cristina.author.
Sanfelici, Simona.author.
This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study. .
Includes bibliographical references and index.
Introduction -- A First Glance at Fourier Method -- Estimation of Integrated Volatility -- Estimation of Instantaneous Volatility -- High Frequency Analysis: Market Microstructure Noise Issues -- Getting Inside the Latent Volatility -- Mathematical Essentials -- Codes for the Fourier Estimator.
This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study. .
Economics, Mathematical .
Game theory.
Data mining.
Quantitative Finance.
Game Theory, Economics, Social and Behav. Sciences.
Data Mining and Knowledge Discovery.