A fourier transform method for nonparametric estimation of multivariate volatility

Annals of Statistics

Volumn 37, Issue 4, 2009, Pages 1983-2010

  Malliavin, Paul ^a   Mancino, Maria Elvira ^b  

^a Institut de France   (France)

^b UNIVERSITY OF FLORENCE   (Italy)

Author keywords

Continuous semi martingale; Fourier transform; High frequency data; Instantaneous co volatility; Nonparametric estimation

Indexed keywords

EID: 68649100191     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/08-AOS633     Document Type: Article

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