Assessing relative volatility/ intermittency/energy dissipation
From MaRDI portal
(Redirected from Publication:470490)
Abstract: We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated by a non-semimartingale, or a Brownian semistationary process in particular. This estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, but it is also applicable in other areas. We develop a probabilistic asymptotic theory for realised relative power variations of Brownian semistationary processes, and introduce inference methods based on the theory. We also discuss how to extend the asymptotic theory to other classes of processes exhibiting stochastic volatility/intermittency. As an empirical application, we study relative energy dissipation in data of atmospheric turbulence.
Recommendations
- Brownian semistationary processes and volatility/intermittency
- Multipower variation for Brownian semistationary processes
- Asymptotic theory for Brownian semi-stationary processes with application to turbulence
- Volatility determination in an ambit process setting
- Time Change, Volatility, and Turbulence
Cites work
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 821171 (Why is no real title available?)
- scientific article; zbMATH DE number 3227597 (Why is no real title available?)
- scientific article; zbMATH DE number 3040955 (Why is no real title available?)
- scientific article; zbMATH DE number 3105271 (Why is no real title available?)
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
- Asymptotic theory for Brownian semi-stationary processes with application to turbulence
- Brownian semistationary processes and volatility/intermittency
- Convergence of the structure function of a multifractal random walk in a mixed asymptotic setting
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Estimating the scaling function of multifractal measures and multifractal random walks using ratios
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Goodness-of-fit testing for fractional diffusions
- Hybrid scheme for Brownian semistationary processes
- Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
- Limit theorems for power variations of ambit fields driven by white noise
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Multipower variation for Brownian semistationary processes
- On mixing and stability of limit theorems
- Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
- Power variation of some integral fractional processes
- Progress in the Statistical Theory of Turbulence
- Testing Statistical Hypotheses
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Testing the type of a semi-martingale: Itō against multifractal
- Volatility determination in an ambit process setting
Cited in
(13)- The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
- Limit theorems for power variations of ambit fields driven by white noise
- Limit theorems for multivariate Brownian semistationary processes and feasible results
- Hybrid scheme for Brownian semistationary processes
- Gamma kernels and BSS/LSS processes
- Ambit fields: survey and new challenges
- On limit theory for Lévy semi-stationary processes
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
- Some recent developments in ambit stochastics
- The local fractional bootstrap
- High-frequency analysis of parabolic stochastic PDEs
- Large and moderate deviations for stochastic Volterra systems
- Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
This page was built for publication: Assessing relative volatility/ intermittency/energy dissipation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q470490)
