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.
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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
2009-21.
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
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