Abstract
In this paper we present a slight modification of the Fourier estimation method of the spot volatility (matrix) process of a continuous Itô semimartingale where the estimators are always non-negative definite. Since the estimators are factorized, computational cost will be saved a lot.
Connections
Explore this paper’s authors, topics and related work.
Building this map preview
BZPEER is loading the nearby papers, people, topics and institutions for this page.
Reviews 0
Write a review
No reviews yet.
Discussion 0
Add a comment
No comments yet.