OptimalCuttingFrequency computes the optimal cutting frequency for the Fourier estimator of integrated variance
Nopt=OptimalCuttingFrequency(x,t)
exampleOptimalCuttingFrequency computes the optimal cutting frequency for running the Fourier estimator of the integrated variance on noisy timeseries data.
Mancino, M.E., Recchioni, M.C., Sanfelici, S. (2017), Fourier-Malliavin Volatility Estimation. Theory and Practice, "Springer Briefs in Quantitative Finance", Springer.
Sanfelici, S., Toscano, G. (2024), The Fourier-Malliavin Volatility (FMVol) MATLAB toolbox, available on ArXiv.
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OPTeff |
OPTpsi |
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Functions |
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• The developers of the toolbox • The forward search group • Terms of Use • Acknowledgments