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arXiv · 1410.0112

The Fourier estimation method with positive semi-definite estimators

Jirô Akahori·Nien-Lin Liu·Maria Elvira Mancino·Yukie Yasuda
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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.

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BibTeXRIS

Jirô Akahori, Nien-Lin Liu, Maria Elvira Mancino, Yukie Yasuda. 2014-10-01. The Fourier estimation method with positive semi-definite estimators. https://arxiv.org/abs/1410.0112

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