Multipower Variation for Brownian Semistationary Processes
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Econometric Theory, Cambridge University Press, vol. 22(4), pages 677-719, August.
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"A note on the central limit theorem for bipower variation of general functions,"
Stochastic Processes and their Applications, Elsevier, vol. 118(6), pages 1056-1070, June.
- 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.
- Barndorff-Nielsen, Ole E. & Corcuera, José Manuel & Podolskij, Mark, 2009.
"Power variation for Gaussian processes with stationary increments,"
Stochastic Processes and their Applications, Elsevier, vol. 119(6), pages 1845-1865, June.
- Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007. "Power variation for Gaussian processes with stationary increments," CREATES Research Papers 2007-42, Department of Economics and Business Economics, Aarhus University.
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Citations
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Cited by:
- Nourdin, Ivan & Peccati, Giovanni & Podolskij, Mark, 2011.
"Quantitative Breuer-Major theorems,"
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- Ivan Nourdin & Giovanni Peccati & Mark Podolskij, 2010. "Quantitative Breuer-Major Theorems," CREATES Research Papers 2010-22, Department of Economics and Business Economics, Aarhus University.
- José Manuel Corcuera & Emil Hedevang & Mikko S. Pakkanen & Mark Podolskij, 2012. "Asymptotic theory for Brownian semi-stationary processes with application to turbulence," CREATES Research Papers 2012-52, Department of Economics and Business Economics, Aarhus University.
- Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Limit theorems for functionals of higher order differences of Brownian semi-stationary processes," CREATES Research Papers 2009-60, Department of Economics and Business Economics, Aarhus University.
- José Manuel Corcuera, 2012. "New Central Limit Theorems for Functionals of Gaussian Processes and their Applications," Methodology and Computing in Applied Probability, Springer, vol. 14(3), pages 477-500, September.
- Mark Podolskij & Katrin Wasmuth, 2012. "Goodness-of-fit testing for fractional diffusions," CREATES Research Papers 2012-12, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Central Limit Theorem; Gaussian Processes; Intermittency; Nonsemimartingales; Turbulence; Volatility; Wiener Chaos;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-06-03 (Econometrics)
- NEP-ETS-2009-06-03 (Econometric Time Series)
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