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Multipower Variation for Brownian Semistationary Processes · Study

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PreprintMultipower Variation for Brownian Semistationary Processes

Ole Eiler Barndorff-Nielsen2009

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Preprintgreen2009

Multipower Variation for Brownian Semistationary Processes

Ole Eiler Barndorff-Nielsen · José Manuel Corcuera · Mark Podolskij

19 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

2006The Malliavin Calculus and Related Topics 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 2005Central limit theorems for sequences of multiple stochastic integrals 2007Asymptotic properties of realized power variations and related functionals of semimartingales 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 2004Gaussian Limits for Vector-valued Multiple Stochastic Integrals

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2008Bipower Variation for Gaussian Processes with Stationary Incrementspreprint · 21 shared references 2011Multipower variation for Brownian semistationary processesarticle · 20 shared references 2009Bipower Variation for Gaussian Processes with Stationary Incrementsarticle · 20 shared references 2008Power variation for Gaussian processes with stationary incrementsarticle · 13 shared references 2012Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processeschapter · 10 shared references 2011Ambit Processes and Stochastic Partial Differential Equationschapter · 10 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1411030

openalex_workW2118540100

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