Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion

DOI10.1007/S11203-013-9079-9zbMATH Open1273.60037arXiv1005.4349OpenAlexW2081079261MaRDI QIDQ2392829FDOQ2392829

Esko Valkeila, Ehsan Azmoodeh

Publication date: 2 August 2013

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Abstract: Dzhaparidze and Spreij [5] showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This class contains both semimartingales and non-semimartingales. The motivation comes partially from the recent work by Bender et al. [2], where it is shown that the quadratic variation of the log-returns determines the hedging strategy.

Full work available at URL: https://arxiv.org/abs/1005.4349

zbMATH Keywords

fractional Brownian motionquadratic variationrandomized periodogram

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15) Portfolio theory (91G10)

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Cited In (4)

• The quadratic variation for mixed-fractional Brownian motion
• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model
• Spectral characterization of the optimal quadratic variation process

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