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High-frequency volatility of volatility estimation free from spot volatility estimates - MaRDI portal

High-frequency volatility of volatility estimation free from spot volatility estimates (Q4619498)

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scientific article; zbMATH DE number 7013621
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English
High-frequency volatility of volatility estimation free from spot volatility estimates
scientific article; zbMATH DE number 7013621

    Statements

    title
    High-frequency volatility of volatility estimation free from spot volatility estimates (English)
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    author
    Simona Sanfelici
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    Imma Valentina Curato
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    Maria Elvira Mancino
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    publication date
    6 February 2019
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    zbMATH Keywords
    stochastic volatility
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    volatility of volatility
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    high-frequency data
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    microstructure
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    Fourier analysis
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    cites work

    Identifiers

    zbMATH DE Number
    7013621
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    OpenAlex ID
    W3125897543
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