Fourier-Malliavin Volatility Estimation Theory and Practice
This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement t...
| Main Authors: | , , |
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| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2017, 2017
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| Edition: | 1st ed. 2017 |
| Series: | SpringerBriefs in Quantitative Finance
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Introduction
- A First Glance at Fourier Method
- Estimation of Integrated Volatility
- Estimation of Instantaneous Volatility
- High Frequency Analysis: Market Microstructure Noise Issues
- Getting Inside the Latent Volatility
- Mathematical Essentials
- Codes for the Fourier Estimator