@article {IOPORT.06050010,
    author       = {Barucci, Emilio and Magno, Davide and Mancino, Maria Elvira},
    title        = {Fourier volatility forecasting with high-frequency data and microstructure noise.},
    year         = {2012},
    journal      = {Quantitative Finance},
    volume       = {12},
    number       = {2},
    issn         = {1469-7688},
    pages        = {281-293},
    publisher    = {Taylor \& Francis (Routledge), Abingdon, Oxfordshire},
    doi          = {10.1080/14697680903413589},
    abstract     = {Summary: We study the forecasting performance of the Fourier volatility estimator in the presence of microstructure noise. Analytical comparison and simulation studies indicate that the Fourier estimator significantly outperforms realized volatility-type estimators, particularly for high-frequency data and when the noise component is relevant. We show that the Fourier estimator generally exhibits better performance, even compared with methods specifically designed to handle market microstructure contamination.},
    identifier   = {06050010},
}