Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Giacomo Toscano, Giulia Livieri, Maria Elvira Mancino, and Stefano Marmi
| Year of publication: |
2024
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|---|---|
| Authors: | Toscano, Giacomo ; Livieri, Giulia ; Mancino, Maria Elvira ; Marmi, Stefano |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 1, p. 252-296
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| Subject: | central limit theorem | Fourier analysis | non-parametric estimation | stochastic volatility | volatility of volatility | Volatilität | Volatility | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014526318