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1301.3602
Cited By

Fourier transform methods for pathwise covariance estimation in the
presence of jumps

v1v2v3 (latest)

Fourier transform methods for pathwise covariance estimation in the presence of jumps

16 January 2013

Christa Cuchiero

Josef Teichmann

ArXiv (abs)PDF HTML

Papers citing "Fourier transform methods for pathwise covariance estimation in the presence of jumps"

4 / 4 papers shown

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

Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized factsSocial Science Research Network (SSRN), 2021

Giacomo Toscano

285

9

0

29 Dec 2021

Malliavin-Mancino estimators implemented with non-uniform fast Fourier
transforms

Malliavin-Mancino estimators implemented with non-uniform fast Fourier transformsSIAM Journal on Scientific Computing (SIAM J. Sci. Comput.), 2020

Etienne Pienaar

256

7

0

05 Mar 2020

The Fourier Transform Method for Volatility Functional Inference by
Asynchronous Observations

The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations

Richard Y. Chen

148

3

0

06 Nov 2019

Bayesian Approach for Parameter Estimation of Continuous-Time Stochastic
Volatility Models using Fourier Transform Methods

Bayesian Approach for Parameter Estimation of Continuous-Time Stochastic Volatility Models using Fourier Transform Methods

Yuri F. Saporito

Rodrigo S. Targino

108

1

0

10 Dec 2018

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