Bipower Variation for Gaussian Processes with Stationary Increments
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Publication:3621152
DOI10.1239/JAP/1238592121zbMATH Open1176.60029OpenAlexW3124214918MaRDI QIDQ3621152FDOQ3621152
Authors: José Manuel Corcuera, Mark Podolskij, Jeannette Woerner, Ole E. Barndorff-Nielsen 
Publication date: 14 April 2009
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1238592121
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Cites Work
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- Central limit theorems for sequences of multiple stochastic integrals
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- Power variation for Gaussian processes with stationary increments
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
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Cited In (22)
- Multipower variation for Brownian semistationary processes
- Ambit processes, their volatility determination and their applications
- Power variation for Itô integrals with respect to \(\alpha\)-stable processes
- Limit theorems for power variations of ambit fields driven by white noise
- Power variation for Gaussian processes with stationary increments
- Central limit theorems for multiple Skorokhod integrals
- Gaussian and non-Gaussian processes of zero power variation
- Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
- Testing long memory based on a discretely observed process
- Power variations for fractional type infinitely divisible random fields
- On limit theory for Lévy semi-stationary processes
- New central limit theorems for functionals of Gaussian processes and their applications
- Central limit theorems for power variation of Gaussian integral processes with jumps
- A note on the central limit theorem for bipower variation of general functions
- Weighted power variation of integrals with respect to a Gaussian process
- Quadratic variation for Gaussian processes and application to time deformation
- Volatility estimation in fractional Ornstein-Uhlenbeck models
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- On limit theory for functionals of stationary increments Lévy driven moving averages
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
- Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps
- Power variation of fractional integral processes with jumps
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