Fourier-Malliavin Volatility Estimation : Theory and Practice / Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici

• Autore: Mancino, Maria Elvira
• Pubblicazione: Cham, : Springer, 2017
• Titolo uniforme: Fourier-Malliavin Volatility Estimation
• Descrizione fisica: X, 135 p. : ill. ; 24 cm
• Soggetto topico: 42B05 - Fourier series and coefficients in several variables [MSC 2020]; 62H12 - Estimation in multivariate analysis [MSC 2020]; 42A38 - Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type [MSC 2020]; 62P20 - Applications of statistics to economics [MSC 2020]; 62G05 - Nonparametric estimation [MSC 2020]; 62P05 - Applications of statistics to actuarial sciences and financial mathematics [MSC 2020]; 62F12 - Asymptotic properties of parametric estimators [MSC 2020]
• Soggetto non controllato: Convolution; Fourier analysis; High-frequency data; Leverage; Microstructure Noise; Multivariate Volatility; Non-parametric estimation; Science as a business; Volatility of Volatility
• Altri autori: Recchioni, Maria Cristina Sanfelici, Simona
• Titolo autorizzato: Fourier-Malliavin Volatility Estimation
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: VAN0123445
• Lo trovi qui: Univ. Vanvitelli
• Localizzazioni e accesso elettronico: https://doi.org/10.1007/978-3-319-50969-3
• Serie: SpringerBriefs in quantitative finance Berlin [etc.] . -Springer