Assessing relative volatility/ intermittency/energy dissipation

DOI10.1214/14-EJS942zbMath1302.60115arXiv1304.6683MaRDI QIDQ470490

Jürgen Schmiegel, Mikko S. Pakkanen, Ole Eiler Barndorff-Nielsen

Publication date: 12 November 2014

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.6683

zbMATH Keywords

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

Mathematics Subject Classification ID

62M09: Non-Markovian processes: estimation

76F55: Statistical turbulence modeling

60G48: Generalizations of martingales

86A10: Meteorology and atmospheric physics

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

The local fractional bootstrap, Gamma Kernels and BSS/LSS Processes, Ambit Fields: Survey and New Challenges, Limit theorems for multivariate Brownian semistationary processes and feasible results, Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data, Hybrid scheme for Brownian semistationary processes, Limit theorems for power variations of ambit fields driven by white noise, On limit theory for Lévy semi-stationary processes, Large and moderate deviations for stochastic Volterra systems, Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields, High-frequency analysis of parabolic stochastic PDEs, The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes, Some Recent Developments in Ambit Stochastics

Uses Software

• YUIMA

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Limit theorems for power variations of ambit fields driven by white noise
• Multipower variation for Brownian semistationary processes
• Power variation of some integral fractional processes
• On mixing and stability of limit theorems
• Testing the type of a semi-martingale: Itō against multifractal
• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
• Goodness-of-fit testing for fractional diffusions
• Estimating the scaling function of multifractal measures and multifractal random walks using ratios
• Asymptotic theory for Brownian semi-stationary processes with application to turbulence
• Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes
• Volatility determination in an ambit process setting
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
• Convergence of the Structure Function of a Multifractal Random Walk in a Mixed Asymptotic Setting
• Testing Statistical Hypotheses
• Progress in the Statistical Theory of Turbulence
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
• Hybrid scheme for Brownian semistationary processes