Codes

The Fourier-Malliavin Volatility (FMVol) estimation library contains functions for the Fourier estimators of the spot and integrated volatility, co-volatility, quarticity, volatility of volatility and leverage. The library is available by getting the free add-on 

Flexible Statistics and Data Analysis Toolbox (FSDA, http://rosa.unipr.it/FSDA/index.html)

developed by the Department of Economics and Management, the Interdepartmental Centre of Robust Statistics (Ro.S.A.) of the University of Parma, and the Joint Research Centre of the European Commission.

The related MATLAB documentation by Simona Sanfelici and Giacomo Toscano is available at:

http://rosa.unipr.it/FSDA/FM_spot_vol.html

http://rosa.unipr.it/FSDA/FM_int_vol.html

http://rosa.unipr.it/FSDA/FM_spot_cov.html

http://rosa.unipr.it/FSDA/FM_int_cov.html

http://rosa.unipr.it/FSDA/FM_spot_lev.html

http://rosa.unipr.it/FSDA/FM_int_lev.html

http://rosa.unipr.it/FSDA/FM_spot_volvol.html

http://rosa.unipr.it/FSDA/FM_int_volvol.html

http://rosa.unipr.it/FSDA/FM_spot_quart.html

http://rosa.unipr.it/FSDA/FM_int_quart.html

These functions integrate the original library by Simona Sanfelici:

http://rosa.unipr.it/FSDA/FE_int_vol.html

http://rosa.unipr.it/FSDA/FE_int_vol_Fejer.html

http://rosa.unipr.it/FSDA/FE_spot_vol.html

http://rosa.unipr.it/FSDA/FE_spot_vol_FFT.html 

All the .m source codes can be found after installing FSDA from the Mathworks file exchange https://it.mathworks.com/matlabcentral/fileexchange/72999-fsda-flexible-statistics-data-analysis-toolbox.

The associated GitHub repo containing the latest versions of the codes is at https://github.com/UniprJRC/FSDA.

A paper that describes the library is available at https://arxiv.org/abs/2402.00172.

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The Julia code related to the paper Chang P, Pienaar E, Gebbie T (2020) Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms. SIAM Journal on Scientific Computing, 42(6) is available at https://github.com/CHNPAT005/PCEPTG-MM-NUFFT.