Bipower Variation for Gaussian Processes with Stationary Increments
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- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A note on the central limit theorem for bipower variation of general functions
- An inequality of the Hölder type, connected with Stieltjes integration
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Central limit theorems for sequences of multiple stochastic integrals
- Convergence en loi des H-variations d'un processus gaussien stationnaire sur \({\mathbb{R}}\). (Convergence in law of H-variations of a stationary Gaussian process)
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Estimation of integrated volatility in stochastic volatility models
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Inference for the jump part of quadratic variation of Itô semimartingales
- Inference in Lévy-type stochastic volatility models
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Limit theorems for multipower variation in the presence of jumps
- Long memory in continuous-time stochastic volatility models
- Noncentral convergence of multiple integrals
- On mixing and stability of limit theorems
- Power and multipower variation: inference for high frequency data
- Power variation for Gaussian processes with stationary increments
- Power variation of some integral fractional processes
- Realized power variation and stochastic volatility models
- Renormalized self-intersection local time for fractional Brownian motion
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- The Malliavin Calculus and Related Topics
- Variation, jumps and high-frequency data in financial econometrics
- Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
Cited in
(22)- Quadratic variation for Gaussian processes and application to time deformation
- Power variations for fractional type infinitely divisible random fields
- Power variation for Gaussian processes with stationary increments
- Limit theorems for power variations of ambit fields driven by white noise
- Ambit processes, their volatility determination and their applications
- Central limit theorems for multiple Skorokhod integrals
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- Gaussian and non-Gaussian processes of zero power variation
- Multipower variation for Brownian semistationary processes
- A note on the central limit theorem for bipower variation of general functions
- Power variation for Itô integrals with respect to \(\alpha\)-stable processes
- On limit theory for Lévy semi-stationary processes
- Testing long memory based on a discretely observed process
- Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps
- Volatility estimation in fractional Ornstein-Uhlenbeck models
- Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
- Weighted power variation of integrals with respect to a Gaussian process
- New central limit theorems for functionals of Gaussian processes and their applications
- Power variation of fractional integral processes with jumps
- On limit theory for functionals of stationary increments Lévy driven moving averages
- Central limit theorems for power variation of Gaussian integral processes with jumps
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