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Bipower variation for Gaussian processes with stationary increments

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Author Info
Ole E. Barndorff-Nielsen
José Manuel Corcuera
Mark Podolskij
Jeannette H.C. Woerner () (School of Economics and Management, University of Aarhus, Denmark and CREATES)

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Abstract

Convergence in probability and central limit laws of bipower variation for Gaussian processes with stationary increments and for integrals with respect to such processes are derived. The main tools of the proofs are some recent powerful techniques of Wiener/Itô/Malliavin calculus for establishing limit laws, due to Nualart, Peccati and others.

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Publisher Info
Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2008-21.

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Length: 27
Date of creation: 08 May 2008
Date of revision:
Handle: RePEc:aah:create:2008-21

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Web page: http://www.econ.au.dk/afn/

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Related research
Keywords: Bipower Variation; Central Limit Theorem; Chaos Expansion; Gaussian Processes; Multiple Wiener-Itô Integrals.;

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  1. Silja Kinnebrock & Mark Podolskij, 2007. "A Note on the Central Limit Theorem for Bipower Variation of General Functions," OFRC Working Papers Series 2007fe03, Oxford Financial Research Centre. [Downloadable!]
  2. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007. "Power variation for Gaussian processes with stationary increments," CREATES Research Papers 2007-42, School of Economics and Management, University of Aarhus. [Downloadable!]
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  3. Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," OFRC Working Papers Series 2004fe21, Oxford Financial Research Centre. [Downloadable!]
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  1. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij & Jeannette H.C. Woerner, 2008. "Bipower variation for Gaussian processes with stationary increments," CREATES Research Papers 2008-21, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
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