Bipower Variation for Gaussian Processes with Stationary Increments

DOI10.1239/JAP/1238592121zbMATH Open1176.60029OpenAlexW3124214918MaRDI QIDQ3621152FDOQ3621152

Mark Podolskij, Jeannette Woerner, Ole E. Barndorff-Nielsen, José Manuel Corcuera

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

zbMATH Keywords

central limit theoremGaussian processchaos expansionmultiple Wiener-Itô integralsBipower variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05)

Cites Work

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• Realized power variation and stochastic volatility models
• Asymptotic properties of realized power variations and related functionals of semimartingales
• The Malliavin Calculus and Related Topics
• Central limit theorems for sequences of multiple stochastic integrals
• An inequality of the Hölder type, connected with Stieltjes integration
• Long memory in continuous-time stochastic volatility models
• Power variation for Gaussian processes with stationary increments
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Power variation of some integral fractional processes
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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• Noncentral convergence of multiple integrals
• On mixing and stability of limit theorems
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
• Estimation of integrated volatility in stochastic volatility models
• Limit theorems for multipower variation in the presence of jumps
• Renormalized self-intersection local time for fractional Brownian motion
• INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
• Inference in Lévy-type stochastic volatility models
• A note on the central limit theorem for bipower variation of general functions

Cited In (17)

• Multipower variation for Brownian semistationary processes
• Power variation for Itô integrals with respect to \(\alpha\)-stable processes
• Limit theorems for power variations of ambit fields driven by white noise
• Central limit theorems for multiple Skorokhod integrals
• Ambit Processes, Their Volatility Determination and Their Applications
• Testing long memory based on a discretely observed process
• Power variations for fractional type infinitely divisible random fields
• Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes
• 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
• 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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