Multipower variation for Brownian semistationary processes

DOI10.3150/10-BEJ316zbMath1244.60039arXiv1201.0868OpenAlexW2789158122MaRDI QIDQ654402

Mark Podolskij, Ole Eiler Barndorff-Nielsen, José Manuel Corcuera

Publication date: 28 December 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.0868

zbMATH Keywords

Gaussian processesMalliavin calculusturbulencecentral limit theoremvolatilityintermittencyWiener chaos expansionmultipower variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) (L^p)-limit theorems (60F25)

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