The Fourier estimation method with positive semi-definite estimators
Statistical Finance
2014-10-02 v1 Statistics Theory
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1410.0112,
title = {The Fourier estimation method with positive semi-definite estimators},
author = {Jirô Akahori and Nien-Lin Liu and Maria Elvira Mancino and Yukie Yasuda},
journal= {arXiv preprint arXiv:1410.0112},
year = {2014}
}