Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A Fourier transform method for nonparametric estimation of multivariate
  volatility   We provide a nonparametric method for the computation of instantaneous
multivariate volatility for continuous semi-martingales, which is based on
Fourier analysis. The co-volatility is reconstructed as a stochastic function
of time by establishing a connection between the Fourier transform of the
prices process and the Fourier transform of the co-volatility process. A
nonparametric estimator is derived given a discrete unevenly spaced and
asynchronously sampled observations of the asset price processes. The
asymptotic properties of the random estimator are studied: namely, consistency
in probability uniformly in time and convergence in law to a mixture of
Gaussian distributions.

12
The categories of this paper are: nucl-th
7
The categories of this paper are: hep-th
34
The categories of this paper are: chem-ph
1
The categories of this paper are: cs
28
The categories of this paper are: alg-geom
11
The categories of this paper are: hep-lat
21
The categories of this paper are: adap-org
20
The categories of this paper are: acc-phys
10
The categories of this paper are: q-bio
6
The categories of this paper are: astro-ph
18
The categories of this paper are: econ
33
The categories of this paper are: plasm-ph
29
The categories of this paper are: funct-an
32
The categories of this paper are: atom-ph
22
The categories of this paper are: chao-dyn
15
The categories of this paper are: nucl-ex