Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts

29 December 2021

Papers citing "Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts"

3 / 3 papers shown

Title
Fourier transform methods for pathwise covariance estimation in the presence of jumps Christa Cuchiero Josef Teichmann 36 33 0 16 Jan 2013
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing Mathias Vetter 54 45 0 25 Jun 2012
A Fourier transform method for nonparametric estimation of multivariate volatility P. Malliavin M. Mancino 76 138 0 13 Aug 2009