Wavelet Estimation of Integrated Volatility∗


In this paper we derive an estimator of integrated volatility using wavelet methods. We demonstrate that the performance of this estimator is indeed as good as a Fourier based method by Malliavin & Mancino (2002). Computationally the wavelet based method is preferable. This result emerges in a series of simulations of a stochastic volatility commonly used… (More)


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@inproceedings{Hg2003WaveletEO, title={Wavelet Estimation of Integrated Volatility∗}, author={Esben H\og and Asger Lunde}, year={2003} }