A0230
Title: Fourier-Malliavin volatility estimation: Recent advances and applications
Authors: Simona Sanfelici - University of Parma (Italy) [presenting]
Abstract: The Fourier volatility estimation method has since stimulated a growing body of scientific literature. Numerous papers have explored both its theoretical foundations and practical applications, published in peer-reviewed international journals across diverse fields - including mathematical finance, high-frequency econometrics, econophysics, and even extending to the natural and medical sciences. The purpose is to present a selection of recent theoretical advancements and updated financial applications of the Fourier estimator. Owing to its ability to reconstruct volatility as a stochastic function of time in both univariate and multivariate settings, the Fourier-Malliavin methodology offers deep insights into a range of volatility-related financial quantities. These include volatility of volatility, leverage effects, and other second-order effects such as the price-volatility feedback rate. This line of research has continued to evolve in recent years. Recent contributions are highlighted, particularly relevant to early warning systems for detecting financial instability, and to factor identification in stochastic volatility models.
