02808nam 22005655 450 991025431230332120230810190954.010.1007/978-3-319-50969-3(CKB)3710000001084403(DE-He213)978-3-319-50969-3(MiAaPQ)EBC4815408(PPN)199768528(EXLCZ)99371000000108440320170301d2017 u| 0engurnn#008mamaatxtrdacontentcrdamediacrrdacarrierFourier-Malliavin Volatility Estimation Theory and Practice /by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici1st ed. 2017.Cham :Springer International Publishing :Imprint: Springer,2017.1 online resource (X, 138 p. 25 illus. in color.)SpringerBriefs in Quantitative Finance,2192-70143-319-50967-5 3-319-50969-1 Includes bibliographical references and index.Introduction -- A First Glance at Fourier Method -- Estimation of Integrated Volatility -- Estimation of Instantaneous Volatility -- High Frequency Analysis: Market Microstructure Noise Issues -- Getting Inside the Latent Volatility -- Mathematical Essentials -- Codes for the Fourier Estimator.This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study. .SpringerBriefs in Quantitative Finance,2192-7014Social sciencesMathematicsGame theoryData miningMathematics in Business, Economics and FinanceGame TheoryData Mining and Knowledge DiscoverySocial sciencesMathematics.Game theory.Data mining.Mathematics in Business, Economics and Finance.Game Theory.Data Mining and Knowledge Discovery.519Mancino Maria Elviraauthttp://id.loc.gov/vocabulary/relators/aut766792Recchioni Maria Cristinaauthttp://id.loc.gov/vocabulary/relators/autSanfelici Simonaauthttp://id.loc.gov/vocabulary/relators/autBOOK9910254312303321Fourier-Malliavin Volatility Estimation2235930UNINA