Volatility determination in an ambit process setting
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Publication:3094490
DOI10.1239/jap/1318940470zbMath1251.60043OpenAlexW2139614410MaRDI QIDQ3094490
Ole Eiler Barndorff-Nielsen, Svend-Erik Graversen
Publication date: 25 October 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1318940470
Random fields (60G60) Inference from spatial processes (62M30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Stochastic analysis (60H99)
Related Items (6)
Functional limit theorems for generalized variations of the fractional Brownian sheet ⋮ Ambit Processes, Their Volatility Determination and Their Applications ⋮ Limit theorems for power variations of ambit fields driven by white noise ⋮ High-frequency analysis of parabolic stochastic PDEs ⋮ Stationary infinitely divisible processes ⋮ Assessing relative volatility/ intermittency/energy dissipation
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