Jir\^o Akahori; Liu, Nien-Lin; Mancino, Maria Elvira; … - arXiv.org - 2014
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.