This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Multipower Variation for Brownian Semistationary Processes

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Ole E. Barndorff-Nielsen () (Aarhus University and CREATES)
José Manuel Corcuera () (Universitat de Barcelona)
Mark Podolskij () (ETH Zürich and CREATES)
Abstract

In this paper we study the asymptotic behaviour of power and multipower variations of stochatstic processes. Processes of the type considered serve in particular, to analyse data of velocity increments of a uid in a turbulence regime with spot intermittency sigma. The purpose of the present paper is to determine the probabilistic limit behaviour of the (multi)power variations of Y , as a basis for studying properties of the intermittency process. Notably the processes Y are in general not of the semimartingale kind and the established theory of multipower variation for semimartingales does not suffice for deriving the limit properties. As a key tool for the results a general central limit theorem for triangular Gaussian schemes is formulated and proved. Examples and an application to realised variance ratio are given.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: ftp://ftp.econ.au.dk/creates/rp/09/rp09_21.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2009-21.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 45
Date of creation: 26 May 2009
Date of revision:
Handle: RePEc:aah:create:2009-21

Contact details of provider:
Web page: http://www.econ.au.dk/afn/

For technical questions regarding this item, or to correct its listing, contact: ().

Related research
Keywords: Central Limit Theorem; Gaussian Processes; Intermittency; Nonsemimartingales; Turbulence; Volatility; Wiener Chaos;

Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Ho, Hwai-Chung & Sun, Tze-Chien, 1987. "A central limit theorem for non-instantaneous filters of a stationary Gaussian process," Journal of Multivariate Analysis, Elsevier, vol. 22(1), pages 144-155, June. [Downloadable!] (restricted)
  2. Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005. "Limit theorems for multipower variation in the presence of jumps," Economics Papers 2005-W07, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? About 2700 working paper series are listed on RePEc.

This page was last updated on 2009-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.