Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms

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

zbMATH Keywords

Epps effectMalliavin-Mancino estimatorsnonuniform fast Fourier transforms

Mathematics Subject Classification ID

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

• FFTW
• GitHub
• FINUFFT

Cites Work

• Fourier transform methods for pathwise covariance estimation in the presence of jumps
• On covariance estimation of non-synchronously observed diffusion processes
• Fourier series method for measurement of multivariate volatilities
• A Fourier transform method for nonparametric estimation of multivariate volatility
• Fourier-Malliavin Volatility Estimation
• STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
• The Epps effect revisited
• Fast Fourier Transforms for Nonequispaced Data
• Fast Summation at Nonequispaced Knots by NFFT
• Detecting intraday financial market states using temporal clustering
• Accelerating the Nonuniform Fast Fourier Transform
• A Parallel Nonuniform Fast Fourier Transform Library Based on an “Exponential of Semicircle" Kernel
• An Algorithm for the Machine Calculation of Complex Fourier Series
• A CLOSER LOOK AT THE EPPS EFFECT
• 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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