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The Fourier estimation method with positive semi-definite estimators

Author

Listed:
  • Jir^o Akahori
  • Nien-Lin Liu
  • Maria Elvira Mancino
  • Yukie Yasuda

Abstract

In this paper we present a slight modification of the Fourier estimation method of the spot volatility (matrix) process of a continuous It\^o 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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  • Jir^o Akahori & Nien-Lin Liu & Maria Elvira Mancino & Yukie Yasuda, 2014. "The Fourier estimation method with positive semi-definite estimators," Papers 1410.0112, arXiv.org.
    • Handle: RePEc:arx:papers:1410.0112
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    References listed on IDEAS

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    1. Nien-Lin Liu & Hoang-Long Ngo, 2014. "Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis," Papers 1409.2214, arXiv.org.
    2. Maria Elvira Mancino & Paul Malliavin, 2002. "Fourier series method for measurement of multivariate volatilities," Finance and Stochastics, Springer, vol. 6(1), pages 49-61.
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