Power variation of fractional integral processes with jumps

DOI10.1016/J.SPL.2011.01.016MaRDI QIDQ552984zbMATH OpenOpenAlexFDO

Authors Guangying Liu, Xinsheng Zhang

Publication date 26 July 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.01.016

zbMATH Keywords

central limit theoremlong memoryjump processhigh frequencyrealized power variation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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• Central limit theorems for power variation of Gaussian integral processes with jumps
• Power variation analysis of some integral long-memory processes

Cites work

• scientific article; zbMATH DE number 822726 (Why is no real title available?)
• An inequality of the Hölder type, connected with Stieltjes integration
• Asymptotic properties of power variations of Lévy processes
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Bipower Variation for Gaussian Processes with Stationary Increments
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• La variation d'ordre p des semi-martingales
• Limit theorems for bipower variation of semimartingales
• Limit theorems for multipower variation in the presence of jumps
• Power Variation and Time Change
• Power variation for Gaussian processes with stationary increments
• Power variation of some integral fractional processes
• Testing for jumps in a discretely observed process
• Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models

Cited in

(14)

• Multipower variation from generalized difference for fractional integral processes with jumps
• A Law of Large Numbers for the Power Variation of Fractional Lévy Processes
• Power variation of some integral fractional processes
• A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
• Testing long memory based on a discretely observed process
• Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
• Asymptotic properties for power variations of fractional integral processes with jumps
• Power variation analysis of some integral long-memory processes
• 带跳的分数维Brown 运动幂变差的渐近行为
• Central limit theorems for power variation of Gaussian integral processes with jumps
• Fluctuations of the power variation of fractional Brownian motion in Brownian time
• Cross-variation of Young integral with respect to long-memory fractional Brownian motions
• Asymptotic properties for power variation of Gaussian integral processes with jumps
• Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps

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