The Fourier estimation method with positive semi-definite estimators
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.
Year of publication: |
2014-10
|
---|---|
Authors: | Jir\^o Akahori ; Liu, Nien-Lin ; Mancino, Maria Elvira ; Yasuda, Yukie |
Institutions: | arXiv.org |
Saved in:
freely available
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