Fourier Spot Volatility Estimator
The paper demonstrates the reliability and efficiency of the Fourier spot volatility estimator in handling microstructure noise without data manipulation or bias correction.
Featured in No. 34 on 23 Jan 2024 ·
- Released
- 6 Oct 2022
- First featured
- No. 34 · 23 Jan 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4698084
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