Mancino, Maria Elvira; Sanfelici, Simona - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2011
We propose a new methodology based on Fourier analysis to estimate the fourth power of volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove consistency of the proposed estimator of integrated quarticity. Further we analyze its efficiency in the presence of...