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\iteman{io-port 06050010}
\itemau{Barucci, Emilio; Magno, Davide; Mancino, Maria Elvira}
\itemti{Fourier volatility forecasting with high-frequency data and microstructure noise.}
\itemso{Quant. Finance 12, No. 2, 281-293 (2012).}
\itemab
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.
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\itemut{Monte Carlo methods; wavelets in finance; mathematical finance; GARCH models; derivatives pricing; financial engineering; numerical methods for option pricing}
\itemli{doi:10.1080/14697680903413589}
\end