We define a new consistent estimator of the integrated volatility of volatility based only on a pre-estimation of the Fourier coefficients of the volatility process. We investigate the finite sample properties of the estimator in the presence of noise contamination by computing the bias of the...

Availability of high frequency data has improved the capability of computing volatility in an efficient way. Nevertheless, measuring volatility/covariance from the observation of the asset price is challenging for two main reasons: observed asset prices are generally affected by noise...

We study the asymptotic normality of two estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility.We show that the bias-corrected estimator reaches the optimal rate 1/4, while the estimator without...

We analyze the economic benefits of several covariance estimation approaches on a tactical asset-allocation problem in the presence of high-frequency return data. Our analysis confirms that the use of robust-to-noise and asynchronicity estimators not only gives statistically more accurate...