The Fourier estimation method with positive semi-definite estimators
  In this paper we present a slight modification of the Fourier estimation method of the spot volatility (matrix) process of a continuous It\^o semimartingale where the estimators are always non-negative definite. Since the estimators are factorized, computational cost will be saved a lot. 
Jir\^o Akahori, Nien-Lin Liu, Maria Elvira Mancino and Yukie Yasuda
q-fin.ST math.ST stat.TH