Fourier-Malliavin Volatility Estimation
| Autor: | Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici |
|---|---|
| EAN: | 9783319509693 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 01.03.2017 |
| Untertitel: | Theory and Practice |
| Kategorie: | |
| Schlagworte: | Convolution Fourier Analysis High Frequency Data Leverage Microstructure Noise Multivariate Volatility Non-parametric Estimation Volatility of Volatility |
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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.