The Fourier estimation method with positive semi-definite estimators

Jiro Akahori, Nien-Lin Liu, Maria Elvira Mancino and Yukie Yasuda

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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.

Date: 2014-10
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1410.0112

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