Cuchiero, Christa; Teichmann, Josef - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 116-160
We provide a new non-parametric Fourier procedure to estimate the trajectory of the instantaneous covariance process (from discrete observations of a multidimensional price process) in the presence of jumps extending the seminal work of Malliavin and Mancino (2002, 2009). Our approach relies on...