Vanessa Mattiussi

City University London - Department of Economics

City University

Northampton Square

London, EC1V 0HB

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

710

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Comparing Correlation Matrix Estimators Via Kullback-Leibler Divergence

Number of pages: 20 Posted: 02 Dec 2011
City University London - Department of Economics, University of Palermo, City University London - Department of Economics and University of Palermo
Downloads 389 (75,805)
Citation 1

Abstract:

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Correlation estimation, Pearson estimator, Fourier estimator, Hayashi-Yoshida estimator, Kullback-Leibler divergence

2.

Spot Volatility Estimation Using Delta Sequences

Number of pages: 40 Posted: 09 Jul 2009 Last Revised: 12 Jul 2012
Cecilia Mancini, Vanessa Mattiussi and Roberto RenĂ²
University of Florence - Department of management and economics, City University London - Department of Economics and University of Verona - Department of Economics
Downloads 321 (94,380)
Citation 1

Abstract:

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spot volatility, microstructure noise, jumps, delta sequences, high frequency data, Fourier estimator