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Fourier-Malliavin volatility estimat...

Mancino, Maria Elvira.

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Fourier-Malliavin volatility estimation = theory and practice /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Fourier-Malliavin volatility estimation/ by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici.
Reminder of title:	theory and practice /
Author:	Mancino, Maria Elvira.
other author:	Recchioni, Maria Cristina.
Published:	Cham :Springer International Publishing : : 2017.,
Description:	x, 138 p. :ill., digital ;24 cm.
[NT 15003449]:	Introduction -- A First Glance at Fourier Method -- Estimation of Integrated Volatility -- Estimation of Instantaneous Volatility -- High Frequency Analysis: Market Microstructure Noise Issues -- Getting Inside the Latent Volatility -- Mathematical Essentials -- Codes for the Fourier Estimator.
Contained By:	Springer eBooks
Subject:	Estimation theory. -
Online resource:	http://dx.doi.org/10.1007/978-3-319-50969-3
ISBN:	9783319509693

Fourier-Malliavin volatility estimation = theory and practice /
Mancino, Maria Elvira.

Fourier-Malliavin volatility estimationtheory and practice /[electronic resource] :by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici. - Cham :Springer International Publishing :2017. - x, 138 p. :ill., digital ;24 cm. - SpringerBriefs in quantitative finance,2192-7006. - SpringerBriefs in quantitative finance..

Introduction -- A First Glance at Fourier Method -- Estimation of Integrated Volatility -- Estimation of Instantaneous Volatility -- High Frequency Analysis: Market Microstructure Noise Issues -- Getting Inside the Latent Volatility -- Mathematical Essentials -- Codes for the Fourier Estimator.

This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study.

ISBN: 9783319509693

Standard No.: 10.1007/978-3-319-50969-3doiSubjects--Topical Terms:

565962
Estimation theory.

LC Class. No.: QA276.8

Dewey Class. No.: 519.544

Fourier-Malliavin volatility estimation = theory and practice /
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100 1 $a Mancino, Maria Elvira. $3 3227433
245 1 0 $a Fourier-Malliavin volatility estimation $h [electronic resource] : $b theory and practice / $c by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2017.
300 $a x, 138 p. : $b ill., digital ; $c 24 cm.
490 1 $a SpringerBriefs in quantitative finance, $x 2192-7006
505 0 $a Introduction -- A First Glance at Fourier Method -- Estimation of Integrated Volatility -- Estimation of Instantaneous Volatility -- High Frequency Analysis: Market Microstructure Noise Issues -- Getting Inside the Latent Volatility -- Mathematical Essentials -- Codes for the Fourier Estimator.
520 $a This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study.
650 0 $a Estimation theory. $3 565962
650 0 $a Fourier analysis. $3 532730
650 1 4 $a Mathematics. $3 515831
650 2 4 $a Quantitative Finance. $3 891090
650 2 4 $a Game Theory, Economics, Social and Behav. Sciences. $3 891103
650 2 4 $a Data Mining and Knowledge Discovery. $3 898250
700 1 $a Recchioni, Maria Cristina. $3 3227434
700 1 $a Sanfelici, Simona. $3 3227435
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950 $a Mathematics and Statistics (Springer-11649)