Toscano, Giacomo, Livieri, Giulia ORCID: 0000-0002-3777-7329, Mancino, Maria Elvira and Marmi, Stefano (2022) Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized Facts. Journal of Financial Econometrics, 22 (1). 252 - 296. ISSN 1479-8409
Full text not available from this repository.Abstract
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected estimator reaches the optimal rate n1=4, while the estimator without bias-correction has a slower convergence rate and a smaller asymptotic variance. Additionally, we provide simulation results that support the theoretical asymptotic distribution of the rate-efficient estimator and show the accuracy of the latter in comparison with a rate-optimal estimator based on the pre-estimation of the spot volatility. Finally, using the rate-optimal Fourier estimator, we reconstruct the series of the daily volatility of volatility of the S&P500 and EUROSTOXX50 indices over long samples and provide novel insight into the existence of stylized facts about the volatility of volatility dynamics.
Item Type: | Article |
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Official URL: | https://academic.oup.com/jfec |
Additional Information: | © The Author(s) 2022. Published by Oxford University Press. All rights reserved. |
Divisions: | LSE |
Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
Date Deposited: | 25 Jun 2024 15:06 |
Last Modified: | 04 Dec 2024 21:21 |
URI: | http://eprints.lse.ac.uk/id/eprint/123972 |
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