FE_int_vol_Fejer computes the integrated variance from a diffusion process via the Fourier estimator using Fejer kernel
FE_int_vol_Fejer computes the integrated variance of univariate timeseries data from a diffusion process by the Fourier estimator with Fejer kernel
FE_int_vol_Fejer called with optional input argument N.ivar
=FE_int_vol_Fejer(x
,
t
,
Name, Value
)
Mancino, M.E., Recchioni, M.C., Sanfelici, S. (2017), Fourier-Malliavin Volatility Estimation. Theory and Practice, "Springer Briefs in Quantitative Finance", Springer.
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FE_int_vol |
FE_spot_vol |
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Functions |
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