SpringerBriefs in Quantitative Finance - Fourier-Malliavin Volatility Estimation
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9783319509679, 9783319509693
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A First Glance at Fourier Method

2017 ◽  
pp. 5-11
Author(s):  
Maria Elvira Mancino ◽  
Maria Cristina Recchioni ◽  
Simona Sanfelici
Keyword(s):  
Fourier Method

Estimation of Integrated Volatility

2017 ◽  
pp. 13-30
Author(s):  
Maria Elvira Mancino ◽  
Maria Cristina Recchioni ◽  
Simona Sanfelici
Keyword(s):  
Integrated Volatility

Estimation of Instantaneous Volatility

2017 ◽  
pp. 31-47 ◽  
Author(s):  
Maria Elvira Mancino ◽  
Maria Cristina Recchioni ◽  
Simona Sanfelici
Keyword(s):  
Instantaneous Volatility

High Frequency Analysis: Market Microstructure Noise Issues

2017 ◽  
pp. 49-74
Author(s):  
Maria Elvira Mancino ◽  
Maria Cristina Recchioni ◽  
Simona Sanfelici
Keyword(s):  
Frequency Analysis ◽  
Market Microstructure ◽  
High Frequency ◽  
Microstructure Noise ◽  
Market Microstructure Noise

Getting Inside the Latent Volatility

2017 ◽  
pp. 75-99
Author(s):  
Maria Elvira Mancino ◽  
Maria Cristina Recchioni ◽  
Simona Sanfelici

Introduction

2017 ◽  
pp. 1-4
Author(s):  
Maria Elvira Mancino ◽  
Maria Cristina Recchioni ◽  
Simona Sanfelici
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