2014/09/08 by Nien-Lin Liu, Liu, Nien-Lin, Hoang-Long Ngo +1
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Economics and business #Mathematical Dynamics and Fractals #Random Matrices and Applications #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #q-fin.ST
paper · pdf · doi:10.48550/arxiv.1409.2214
arxiv created 2014/09/08 · openalex publication_date 2014/09/08 · arxiv updated 2014/09/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In order to study the geometry of interest rates market dynamics, Malliavin, Mancino and Recchioni [A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics, \it Japanese Journal of Mathematics, 2, pp.55--77, 2007] introduced a scheme, which is based on the Fourier Series method, to estimate eigenvalues of a spot cross volatility matrix. In this paper, we present another estimation scheme based on the Quadratic Variation method. We first establish limit theorems for each scheme and then we use a stochastic volatility model of Heston's type to compare the effectiveness of these two schemes.