TY  - BOOK
AU  - Mancino,Maria Elvira
AU  - Recchioni,Maria Cristina
AU  - Sanfelici,Simona
ED  - SpringerLink (Online service)
TI  - Fourier-Malliavin Volatility Estimation: Theory and Practice 
T2  - SpringerBriefs in Quantitative Finance,
SN  - 9783319509693
AV  - HB135-147 
U1  - 519 23
PY  - 2017///
CY  - Cham
PB  - Springer International Publishing, Imprint: Springer
KW  - Finance
KW  - Mathematics
KW  - Data mining
KW  - Quantitative Finance
KW  - Game Theory, Economics, Social and Behav. Sciences
KW  - Data Mining and Knowledge Discovery
N1  - 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
N2  - 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.
UR  - https://doi.org/10.1007/978-3-319-50969-3
ER  -