Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes
From MaRDI portal
Publication:2838135
DOI10.1007/978-3-642-33549-5_4zbMath1273.60021MaRDI QIDQ2838135
José Manuel Corcuera, Mark Podolskij, Ole Eiler Barndorff-Nielsen
Publication date: 8 July 2013
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-33549-5_4
Gaussian processes; central limit theorem; stable convergence; high frequency observations; multipower variation; higher order differences; Brownian semi-stationary processes
Related Items
Estimation of the Hurst parameter in the simultaneous presence of jumps and noise, The local fractional bootstrap, Gamma Kernels and BSS/LSS Processes, Ambit Fields: Survey and New Challenges, Volatility estimation in fractional Ornstein-Uhlenbeck models, Pathwise Decompositions of Brownian Semistationary Processes, Hybrid scheme for Brownian semistationary processes, Limit theorems for power variations of ambit fields driven by white noise, Assessing relative volatility/ intermittency/energy dissipation, Stationary infinitely divisible processes, On limit theory for Lévy semi-stationary processes, A weak law of large numbers for realised covariation in a Hilbert space setting, Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets, High-frequency analysis of parabolic stochastic PDEs, Goodness-of-fit testing for fractional diffusions, A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities, A central limit theorem for the realised covariation of a bivariate Brownian semistationary process, Asymptotic theory for Brownian semi-stationary processes with application to turbulence, On non-standard limits of Brownian semi-stationary processes, Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process, Ambit Processes, Their Volatility Determination and Their Applications
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multipower variation for Brownian semistationary processes
- A note on the central limit theorem for bipower variation of general functions
- Power variation for Gaussian processes with stationary increments
- Gaussian moving averages and semimartingales
- On mixing and stability of limit theorems
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Semi-parametric estimation of the Hölder exponent of a stationary Gaussian process with minimax rates
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Limit theorems for multipower variation in the presence of jumps
- Central limit theorems for sequences of multiple stochastic integrals
- Limit theorems for bipower variation of semimartingales
- Bipower Variation for Gaussian Processes with Stationary Increments
- La variation d'ordre p des semi-martingales