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Authors: Vanessa Mattiussi and Giulia Iori

Journal: in Debt, Risk and Liquidity in Futures Markets, London and New York: Routledge, B.A. Goss (ed) (2008)

Year: 2008

Status: Book Chapters

Abstract: We analyze a recently proposed method to estimate volatility and correlation when prices are observed at a high frequency rate. The method is based on Fourier analysis and does not require any data manipulation, leading to more robust estimates than the traditional methodologies proposed so far. In the first part of the paper, we evaluate the performance of the Fourier algorithm to reconstruct the time volatility of simulated univariate and bivariate models. In the second part, the Fourier method is used to investigate the volatility and correlation dynamics of futures markets over the Asian crisis period, with the purpose of detecting possible interdependencies and volatility transmissions across countries amid a period of financial turmoil.

Link: http://econpapers.repec.org/paper/ctydpaper/0609.htm

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