Maria Elvira Mancino
Biographic Data
| ID | 8920686 |
|---|---|
| NAME | Maria Elvira Mancino |
| GIVEN NAMES | Maria Elvira |
| FAMILY NAME | Mancino |
| SIGNATURE | MANCINO M E |
| AFFILIATIONS | University of Florence |
| ORCID | 0000-0001-9146-4107 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2025 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 0 |
Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise
We study the efficiency and robustness of the Fourier spot volatility estimator when high-frequency prices are contaminated by microstructure noise. First, we show that the estimator is consistent and asymptotically efficient in the presence of additive noise, establishing a Central Limit Theorem (CLT) with the optimal rate of convergence n1/8. Additionally, we complete the asymptotic theory in the absence of noise, obtaining a CLT with the optim…
No prominent works on this page.
Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise
We study the efficiency and robustness of the Fourier spot volatility estimator when high-frequency prices are contaminated by microstructure noise. First, we show that the estimator is consistent and asymptotically efficient in the presence of additive noise, establishing a Central Limit Theorem (CLT) with the optimal rate of convergence n1/8. Additionally, we complete the asymptotic theory in the absence of noise, obtaining a CLT with the optim…
Applied Mathematics (1 work) · Asymptotic distribution (1 work) · Chemistry (1 work) · Composite material (1 work) · Econometrics (1 work) · Estimator (1 work) · Financial Risk and Volatility Modeling (1 work) · Fourier transform (1 work) · Materials Science (1 work) · Mathematical analysis (1 work)