Working papers
Recent working papers on the Fourier volatility estimation method and its applications
Recent working papers on the Fourier volatility estimation method and its applications
Chang P, Bukuru R, Gebbie T (2019) Revisiting the Epps effect using volume time averaging: An exercise in R. ArXiv:1912.02416
Chen RY (2019) The Fourier transform method for volatility functional inference by asynchronous observations. ArXiv:1911.02205
Akahori J, Liu NL, Mancino ME, Mariotti T, Yasuda Y (2023) The Fourier estimation method with positive semi-definite estimators.
Mancino ME, Mariotti T, Toscano G (2024) . Spot beta estimation with asynchronous noisy prices. Available on SSRN.