Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data
Fig 1
Empirical distribution of the normalized asymptotic error.
The panels show the empirical distribution of for t ≈ 0.15 left panels, t ≈ 0.5 middle panels, t ≈ 0.9 right panels and c = 1/2 upper panels, c = 1/8 lower panels with 1-second returns.