The Fourier estimation method with positive semi-definite estimators

Jir\^o Akahori; Maria Elvira Mancino; Nien-Lin Liu; Yukie Yasuda

arxiv: 1410.0112 · v1 · pith:BIDTRD5Gnew · submitted 2014-10-01 · 💱 q-fin.ST · math.ST· stat.TH

The Fourier estimation method with positive semi-definite estimators

Jir\^o Akahori , Nien-Lin Liu , Maria Elvira Mancino , Yukie Yasuda This is my paper

classification 💱 q-fin.ST math.STstat.TH

keywords estimatorsestimationfouriermethodalwayscomputationalcontinuouscost

0 comments

read the original 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.

This paper has not been read by Pith yet.

The Fourier estimation method with positive semi-definite estimators

discussion (0)