Mathematics – Statistics Theory
Scientific paper
2009-08-13
Annals of Statistics 2009, Vol. 37, No. 4, 1983-2010
Mathematics
Statistics Theory
Published in at http://dx.doi.org/10.1214/08-AOS633 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Scientific paper
10.1214/08-AOS633
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by establishing a connection between the Fourier transform of the prices process and the Fourier transform of the co-volatility process. A nonparametric estimator is derived given a discrete unevenly spaced and asynchronously sampled observations of the asset price processes. The asymptotic properties of the random estimator are studied: namely, consistency in probability uniformly in time and convergence in law to a mixture of Gaussian distributions.
Malliavin Paul
Mancino Maria Elvira
No associations
LandOfFree
A Fourier transform method for nonparametric estimation of multivariate volatility does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with A Fourier transform method for nonparametric estimation of multivariate volatility, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Fourier transform method for nonparametric estimation of multivariate volatility will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-701156