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- W2022334827 abstract "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 a modification of (classical) jump-robust estimators of integrated realized covariance to estimate the Fourier coefficients of the covariance trajectory. Using Fourier–Féjer inversion we reconstruct the path of the instantaneous covariance. We prove consistency and a central limit theorem (CLT) and in particular that the asymptotic estimator variance is smaller by a factor 2/3 in comparison to classical local estimators. The procedure is robust enough to allow for an iteration and we can show theoretically and empirically how to estimate the integrated realized covariance of the instantaneous stochastic covariance process. We apply these techniques to robust calibration problems for multivariate modeling in finance, i.e., the selection of a pricing measure by using time series and derivatives’ price information simultaneously." @default.
- W2022334827 created "2016-06-24" @default.
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- W2022334827 date "2015-01-01" @default.
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- W2022334827 title "Fourier transform methods for pathwise covariance estimation in the presence of jumps" @default.
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- W2022334827 doi "https://doi.org/10.1016/j.spa.2014.07.023" @default.
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