Working papers
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
Mancino ME, Mariotti T, Toscano G (2022) Asymptotic normality for the Fourier spot volatility estimator in the presence of microstructure noise. ArXiv:2209.08967
Akahori J, Liu NL, Mancino ME, Mariotti T, Yasuda Y (2023) The Fourier estimation method with positive semi-definite estimators.
Allaj E, Mancino ME, Sanfelici S (2023) A non-parametric method for the identification of the number of factors for stochastic volatility models.