In this paper we present a slight modification of the Fourier estimation method of the spot volatility (matrix) process of a continuous It\^o semimartingale where the estimators are always non-negative definite. Since the estimators are factorized, computational cost will be saved a lot.
The Fourier estimation method with positive semi-definite estimators / Jirô, Akahori; Nien-Lin, Liu; Maria, Elvira Mancino; Yukie, Yasuda. - ELETTRONICO. - (2014).
The Fourier estimation method with positive semi-definite estimators
MANCINO, MARIA ELVIRA;
2014
Abstract
In this paper we present a slight modification of the Fourier estimation method of the spot volatility (matrix) process of a continuous It\^o semimartingale where the estimators are always non-negative definite. Since the estimators are factorized, computational cost will be saved a lot.
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