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Assessing Relative Volatility/Intermittency/Energy Dissipation

Author

Listed:
  • Ole E. Barndorff-Nielsen

    () (Aarhus University, THIELE Center and CREATES)

  • Mikko S. Pakkanen

    () (Aarhus University and CREATES)

  • Jürgen Schmiegel

    () (Aarhus University)

Abstract

We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian semistationary process in particular. While this estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, we apply it also to energy price data. Moreover, we develop a probabilistic asymptotic theory for relative power variations of Brownian semistationary processes and Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency.

Suggested Citation

  • Ole E. Barndorff-Nielsen & Mikko S. Pakkanen & Jürgen Schmiegel, 2013. "Assessing Relative Volatility/Intermittency/Energy Dissipation," CREATES Research Papers 2013-15, Department of Economics and Business Economics, Aarhus University.
  • Handle: RePEc:aah:create:2013-15
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    File URL: ftp://ftp.econ.au.dk/creates/rp/13/rp13_15.pdf
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    References listed on IDEAS

    as
    1. Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2013. "Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes," Papers 1307.6332, arXiv.org.
    2. Corcuera, José Manuel & Hedevang, Emil & Pakkanen, Mikko S. & Podolskij, Mark, 2013. "Asymptotic theory for Brownian semi-stationary processes with application to turbulence," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2552-2574.
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    Cited by:

    1. Ole E. Barndorff-Nielsen, 2016. "Assessing Gamma kernels and BSS/LSS processes," CREATES Research Papers 2016-09, Department of Economics and Business Economics, Aarhus University.
    2. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2014. "Discretization of Lévy semistationary processes with application to estimation," CREATES Research Papers 2014-21, Department of Economics and Business Economics, Aarhus University.
    3. Vicky Fasen, 2016. "Dependence Estimation for High-frequency Sampled Multivariate CARMA Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 292-320, March.

    More about this item

    Keywords

    Brownian semistationary process; energy dissipation; intermittency; power variation; turbulence; volatility.;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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