Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms
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Publication:5146684
DOI10.1137/20M1325903zbMath1458.62088arXiv2003.02842MaRDI QIDQ5146684
Etienne A. D. Pienaar, Tim Gebbie, Patrick Chang
Publication date: 26 January 2021
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.02842
Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Numerical methods for discrete and fast Fourier transforms (65T50)
Uses Software
Cites Work
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- Modelling microstructure noise with mutually exciting point processes
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
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