Published articles
Articles about the Fourier volatility estimation method and its applications, published on international peer-reviewed journals
Articles about the Fourier volatility estimation method and its applications, published on international peer-reviewed journals
The original papers on the Fourier methodology:
Malliavin P, Mancino ME (2002) Fourier series method for measurement of multivariate volatilities. Finance and Stochastics 4:49–61.
Malliavin P, Mancino ME (2009) A Fourier transform method for nonparametric estimation of volatility. The Annals of Statistics 37(4):1983–2010.
Other work (from most recent to least recent):
Allaj E, Mancino ME, Sanfelici S (2024) Identifying the number of latent factors of stochastic volatility models. Decisions in Economics and Finance (forthcoming).
Mancino ME, Mariotti T, Toscano G (2024) Asymptotic normality and finite-sample robustness of the Fourier spot volatility estimator in the presence of microstructure noise. Journal of Business & Economic Statistics (forthcoming).
Sanfelici, S, Toscano, G (2024) The Fourier-Malliavin Volatility (FMVol) toolbox for MATLAB. Mathematics and Computers in Simulation, 226: 338-353.
Brini A, Toscano G (2024). SpotV2Net: SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. International Journal of Forecasting (forthcoming).
Allaj E, Sanfelici S (2023) Early Warning Systems for identifying financial instability. International Journal of Forecasting (forthcoming).
Mariotti T, Lillo F, Toscano G (2023) From zero-intelligence to queue-reactive: limit order book modeling for high-frequency volatility estimation and optimal execution. Quantitative Finance, 23(3): 367-388.
Curato IV, Sanfelici S (2022) Stochastic leverage effect in high-frequency data: a Fourier-based analysis. Econometrics and Statistics 23: 53-82
Mancino ME, Toscano G (2022) Rate Efficient Asymptotic Normality for the Fourier Estimator of the Leverage Process. Statistics and Its Interface 15(1):73-89.
Toscano G (2022) The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes. Applied Stochastic Models in Business and Industry, 38(3): 497-511.
Toscano G, Livieri G, Mancino ME, Marmi S (2022) Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. Journal of Financial Econometrics (forthcoming).
Allaj E, Mancino ME (2021) On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
Communications in Statistics, 50(12): 4413-4441.
Alòs E, Lorite DG (2021) Malliavin Calculus in Finance: Theory and Practice. CRC Press.
Chang P, Pienaar E, Gebbie T (2020) Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms. SIAM Journal on Scientific Computing, 42(6).
Chang P (2020) Fourier instantaneous estimators and the Epps effect. PLOS ONE.
Mancino ME, Sanfelici S (2020) Identifying financial instability conditions using high-frequency data. Journal of Economic Interaction and Coordination, 15(1): 221-242.
Mancino ME, Sanfelici S (2020) Non-parametric Malliavin–Monte Carlo computation of hedging greeks Risks, 8(4).
Mancino ME, Scotti S, Toscano G (2020) Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. Applied Mathematical Finance, 27(4): 288-316.
Merkle M, Saporito YF, Targino RS (2020) Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods. Statistics & Probability Letters 156.
Curato IV (2019) Estimation of the stochastic leverage effect using the Fourier transform method. Stochastic Processes and their Applications 129(9): 3207-3238.
Livieri G, Mancino ME, Marmi S (2019) Asymptotic results for the Fourier estimator of the integrated quarticity. Decisions in Economics and Finance, 42:472-501.
Curato IV, Mancino ME, Recchioni MC (2016) Spot volatility estimation using the Laplace transform. Econometrics and Statistics 6:22-43.
Park S, Hong SY, Linton O (2016) Estimating the quadratic covariation matrix for an asynchronously observed continuous-time signal masked by additive noise. Journal of Econometrics 191(2):325–347.
Wilinski M, Ikeda Y, Aoyama H (2018) Complex correlation approach for high-frequency financial data. Journal of Statistical Mechanics: Theory and Experiment 2018(2).
Cuchiero C, Teichmann J (2015) Fourier transform methods for pathwise covariance estimation in the presence of jumps. Stochastic Processes and Their Applications 125(1):116–160.
Curato IV, Sanfelici S (2015) Measuring the leverage effect in a high-frequency framework. In: Gregoriou GN (ed) The Handbook of High-Frequency Trading, Elsevier, Amsterdam: North-Holland, pp 425–446.
Mancino ME, Recchioni MC (2015) Fourier spot volatility estimator: asymptotic normality and efficiency with liquid and illiquid high-frequency data. PLOS ONE 10(9).
Sanfelici S, Curato IV, Mancino ME (2015) High-frequency volatility of volatility estimation free from spot volatility estimates. Quantitative Finance 15(8):1–15.
Barsotti F, Sanfelici S (2014) Firm’s volatility risk under microstructure noise. In: Corazza M, Pizzi C (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp 55–67.
Inkaya A, Yoluc Okur, Y (2014) Analysis of volatility feedback and leverage effects on the ISE30 index using high-frequency data. Journal of Computational and Applied Mathematics 259(15): 377-384.
Kenmoe R, Sanfelici S (2014) An application of nonparametric volatility estimation to option pricing. Decisions Econ Finance 37(2):393–412.
Ogawa S, Uemura H (2014) Identification of a noncausal Itô process from the stochastic Fourier coefficients. Bulletin des Sciences Mathématiques 138(1): 147-163.
Sanfelici S, Uboldi A (2014) Assessing the quality of volatility estimators via option pricing. Studies in Nonlinear Dynamics & Econometrics 18(2):103–124.
Wang F (2014) Optimal design of Fourier estimator in the presence of microstructure noise. Computational Statistics & Data Analysis 76:708–722.
Papantonopoulos G, Takahashi K, Bountis T, Loos BG (2013) Mathematical modeling suggests that periodontitis behaves as a nonlinear chaotic dynamical process. Journal of Periodontology 84:e29–e39
Barucci E, Magno D, Mancino ME (2012) Fourier volatility forecasting with high-frequency data and microstructure noise. Quantitative Finance 12(2):281–293.
Liu NL, Mancino ME (2012) Fourier estimation method applied to forward interest rates. JSIAM Letters 4:17–20.
Mancino ME, Sanfelici S (2012) Estimation of quarticity with high-frequency data. Quantitative Finance 12(4):607–622.
Clement E, Gloter A (2011) Limit theorems in the Fourier transform method for the estimation of multivariate volatility. Stochastic Processes and Their Applications 121:1097–1124.
Khalifa AA, Miao H, Ramchander S (2011) Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper. Journal of Futures Markets 31(1): 55-80.
Mancino ME, Sanfelici S (2011) Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology. In: Gregoriou GN, Pascalau R (eds) Handbook of Econometrics, Palgrave-MacMillan, London, UK.
Mancino ME, Sanfelici S (2011) Estimating covariance via Fourier method in the presence of asynchronous trading and microstructure noise. Journal of Financial Econometrics 9(2):367–408.
Mancino ME, Sanfelici S (2011) Multivariate volatility estimation with high-frequency data using Fourier method. In: Florescu I, Mariani M, Viens F (eds) Handbook of Modeling High-Frequency Data in Finance, Wiley, New York.
Ogawa S, Sanfelici S (2011) An improved two-step regularization scheme for spot volatility estimation. Economic Notes, 40(3): 107-134.
Barucci E, Mancino ME (2010) Computation of volatility in stochastic volatility models with high-frequency data. International Journal of theoretical and Applied Finance 13(5):1–21.
Gatheral J, Oomen RCA (2010) Zero-intelligence realized variance estimator. Finance & Stochastics 14(2):249–283.
Mancino ME, Sanfelici S (2008) Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise. Computational Statistics and Data Analysis 52(6):2966–2989.
Nielsen MO, Frederiksen PH (2008) Finite sample accuracy and choice of sampling frequency in integrated volatility estimation. Journal of Empirical Finance 15(2):265–286
Renò R (2008) Nonparametric estimation of the diffusion coefficient of the stochastic volatility models. Econometric Theory 24:1174–1206.
Iori G, Precup OV (2007) Weighted network analysis of high-frequency cross-correlation measures. Physical Review E 75(3).
Iori G, Renò R, De Masi G, Caldarelli G (2007) Trading strategies in the Italian interbank market. Physica A: Statistical Mechanics and its Applications 376: 467-479.
Malliavin P, Mancino ME, Recchioni MC (2007) A non-parametric calibration of the HJM geometry: an application of Ito calculus to financial statistics. Japanese Journal of Mathematics 2:55–77.
Precup OV, Iori G (2007) Cross-correlation measures in the high-frequency domain. European Journal of Finance 13(4): 319-331.
Bianco S, Renò R (2006) Dynamics of intraday serial correlation in the Italian futures market. Journal of Futures Markets: Futures, Options, and Other Derivative Products 26(1): 61-84.
Barucci E, Malliavin P, Mancino ME (2006) Harmonic analysis methods for nonparametric estimation of volatility: theory and applications. Proceedings of the International Symposium "Stochastic Processes and Applications to Mathematical Finance", 2005, at Ritsumeikan University, World Scientific.
Hansen PR, Lunde A (2006) Consistent ranking of volatility models. Journal of Econometrics 131:97–121.
Mancino ME, Renò R (2005) Dynamic principal component analysis of multivariate volatility via Fourier analysis. Applied Mathematical Finance 12(2):187–199.
Pasquale M, Renò R (2005) Statistical properties of trading volume depending on size. Physica A: Statistical Mechanics and its Applications 346(3-4): 518-528.
Precup OV, Iori G (2004) A comparison of high-frequency cross-correlation measures. Physica A 344:252–256
Barucci E, Malliavin P, Mancino ME, Renò R, Thalmaier A (2003) The price-volatility feedback rate: an implementable mathematical indicator of market stability. Mathematical Finance 13:17–35.
Renò R, Rizza R (2003) Is volatility lognormal? Evidence from Italian futures. Physica A 322:620–628.
Renò R (2003) A closer look at the Epps effect. International Journal of theoretical and applied finance 6(1): 87-102.
Barucci E, Renò R (2002) On measuring the volatility of diffusion processes with high-frequency data. Economics Letters 74:371–378.
Barucci E, Renò R (2002) On measuring volatility and the GARCH forecasting performance. Journal of International Financial Markets, Institutions and Money 12:183–200.
Barucci E, Renò R (2002) Value at Risk with high-frequency data. New Trends in Banking Management: 223-231. Physica-Verlag HD.
Malliavin P, Mancino ME (2002) Instantaneous liquidity rate, its econometric measurement by volatility feedback. CRAS Paris 334:505–508.