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Bias-optimal vol-of-vol estimation: the role of window overlapping |
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| Authors: | Toscano Giacomo Recchioni Maria Cristina |
| Institution: | 1.University of Firenze and Scuola Normale Superiore, Via delle Pandette 9, 50127, Firenze, Italy ;2.Università Politecnica delle Marche, Piazzale Martelli 8, 60121, Ancona, Italy ; |
| Abstract: | Decisions in Economics and Finance - The simplest and most natural vol-of-vol estimator, the pre-estimated spot variance-based realized variance, is typically plagued by a large finite-sample bias.... |
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