no code implementations • 19 Sep 2022 • Maria Elvira Mancino, Tommaso Mariotti, Giacomo Toscano
Moreover, we complete the asymptotic theory for the Fourier spot volatility estimator in the absence of noise, originally presented in [Mancino and Recchioni, 2015], by deriving a Central Limit Theorem with the optimal convergence rate $n^{1/4}$.
