Mancino / Recchioni / Sanfelici Fourier-Malliavin Volatility Estimation
1. Auflage 2017
ISBN: 978-3-319-50969-3
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: 1 - PDF Watermark
Theory and Practice
E-Book, Englisch, 138 Seiten
Reihe: SpringerBriefs in Quantitative Finance
ISBN: 978-3-319-50969-3
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
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.
