Search Results for author: Maria Cristina Recchioni

Found 1 papers, 0 papers with code

Bias optimal vol-of-vol estimation: the role of window overlapping

no code implementations8 Apr 2020 Giacomo Toscano, Maria Cristina Recchioni

We derive a feasible criterion for the bias-optimal selection of the tuning parameters involved in estimating the integrated volatility of the spot volatility via the simple realized estimator by Barndorff-Nielsen and Veraart (2009).

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