  This paper presents the Fourier-Malliavin Volatility (FMVol) estimation
library for MATLAB. This library includes functions that implement Fourier-
Malliavin estimators (see Malliavin and Mancino (2002, 2009)) of the volatility
and co-volatility of continuous stochastic volatility processes and
second-order quantities, like the quarticity (the squared volatility), the
volatility of volatility and the leverage (the covariance between changes in
the process and changes in its volatility). The Fourier-Malliavin method is
fully non-parametric, does not require equally-spaced observations and is
robust to measurement errors, or noise, without any preliminary bias correction
or pre-treatment of the observations. Further, in its multivariate version, it
is intrinsically robust to irregular and asynchronous sampling. Although
originally introduced for a specific application in financial econometrics,
namely the estimation of asset volatilities, the Fourier-Malliavin method is a
general method that can be applied whenever one is interested in reconstructing
the latent volatility and second-order quantities of a continuous stochastic
volatility process from discrete observations.
