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An Improved Two‐step Regularization Scheme for Spot Volatility Estimation

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  • Shigeyoshi Ogawa
  • Simona Sanfelici

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  • Shigeyoshi Ogawa & Simona Sanfelici, 2011. "An Improved Two‐step Regularization Scheme for Spot Volatility Estimation," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 40(3), pages 105-132, November.
    • Handle: RePEc:bla:ecnote:v:40:y:2011:i:3:p:105-132
    DOI: j.1468-0300.2011.00233.x
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    File URL: http://hdl.handle.net/10.1111/j.1468-0300.2011.00233.x
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    Citations

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    Cited by:

    1. Liu, Qiang & Liu, Yiqi & Liu, Zhi & Wang, Li, 2018. "Estimation of spot volatility with superposed noisy data," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 62-79.
    2. Romuald Kenmoe & Simona Sanfelici, 2014. "An application of nonparametric volatility estimators to option pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 393-412, October.
    3. Cecilia Mancini & Vanessa Mattiussi & Roberto Renò, 2015. "Spot volatility estimation using delta sequences," Finance and Stochastics, Springer, vol. 19(2), pages 261-293, April.
    4. Zu, Yang & Peter Boswijk, H., 2014. "Estimating spot volatility with high-frequency financial data," Journal of Econometrics, Elsevier, vol. 181(2), pages 117-135.
    5. 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.
    6. Giulia Livieri & Maria Elvira Mancino & Stefano Marmi, 2019. "Asymptotic results for the Fourier estimator of the integrated quarticity," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 471-502, December.
    7. Liu, Qiang & Liu, Yiqi & Liu, Zhi, 2018. "Estimating spot volatility in the presence of infinite variation jumps," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 1958-1987.

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