Multipower variation for Brownian semistationary processes

DOI10.3150/10-BEJ316zbMATH Open1244.60039OpenAlexW2789158122MaRDI QIDQ654402FDOQ654402

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

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 calculuscentral limit theoremvolatilityturbulenceWiener chaos expansionintermittencymultipower variation

Mathematics Subject Classification ID

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

Abstract: In this paper we study the asymptotic behaviour of power and multipower variations of processes $Y$:[Y_t=int_{-in fty}^tg(t-s)sigma_sW(mathrm{d}s)+Z_t,] where $g:(0,infty)ightarrowmathbbR$ is deterministic, $sigma>0$ is a random process, $W$ is the stochastic Wiener measure and $Z$ is a stochastic process in the nature of a drift term. Processes of this type serve, in particular, to model data of velocity increments of a fluid in a turbulence regime with spot intermittency $sigma$. The purpose of this paper is to determine the probabilistic limit behaviour of the (multi)power variations of $Y$ as a basis for studying properties of the intermittency process $sigma$. Notably the processes $Y$ are in general not of the semimartingale kind and the established theory of multipower variation for semimartingales does not suffice for deriving the limit properties. As a key tool for the results, a general central limit theorem for triangular Gaussian schemes is formulated and proved. Examples and an application to the realised variance ratio are given.

Recommendations

• A central limit theorem for realised power and bipower variation of continuous semimartingales
• Asymptotic theory for Brownian semi-stationary processes with application to turbulence
• Brownian semistationary processes and volatility/intermittency
• On non-standard limits of Brownian semi-stationary processes
• Limit theorems for multivariate Brownian semistationary processes and feasible results

Cites work

• scientific article; zbMATH DE number 2149887 (Why is no real title available?)
• scientific article; zbMATH DE number 3259552 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A Stochastic Differential Equation Framework for the Timewise Dynamics of Turbulent Velocities
• A central limit theorem for non-instantaneous filters of a stationary Gaussian process
• 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
• Absolute moments in 3-dimensional normal distribution
• Ambit processes; with applications to turbulence and tumour growth
• Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Bipower Variation for Gaussian Processes with Stationary Increments
• Brownian semistationary processes and volatility/intermittency
• 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
• Functional limit theorems for generalized quadratic variations of Gaussian processes
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
• Limit theorems for multipower variation in the presence of jumps
• Lévy-based spatial-temporal modelling, with applications to turbulence
• Multipower variation for Brownian semistationary processes
• On mixing and stability of limit theorems
• Power and multipower variation: inference for high frequency data
• Power variation for Gaussian processes with stationary increments
• Quasi Ornstein-Uhlenbeck processes
• The Malliavin Calculus and Related Topics
• Time Change, Volatility, and Turbulence
• Variation, jumps and high-frequency data in financial econometrics

Cited in

(44)

• Statistical inference for rough volatility: central limit theorems
• Estimators of fractal dimension: assessing the roughness of time series and spatial data
• A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
• Limit theorems for power variations of ambit fields driven by white noise
• Ambit processes, their volatility determination and their applications
• Limit theorems for multivariate Brownian semistationary processes and feasible results
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
• Multipower variation for Brownian semistationary processes
• Stationary infinitely divisible processes
• Asymptotic properties of realized power variations and related functionals of semimartingales
• On non-standard limits of Brownian semi-stationary processes
• Quantitative Breuer-Major theorems
• Brownian semistationary processes and volatility/intermittency
• Wavelet-based methods for high-frequency lead-lag analysis
• Power variation for Itô integrals with respect to \(\alpha\)-stable processes
• Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs
• Hybrid scheme for Brownian semistationary processes
• Gamma kernels and BSS/LSS processes
• Path properties of a generalized fractional Brownian motion
• 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
• Volatility estimation in fractional Ornstein-Uhlenbeck models
• Pathwise decompositions of Brownian semistationary processes
• Modelling turbulent time series by BSS-processes
• Goodness-of-fit testing for fractional diffusions
• Quasi Ornstein-Uhlenbeck processes
• Power variations for a class of Brown-Resnick processes
• High-frequency sampling and kernel estimation for continuous-time moving average processes
• Empirical likelihood methods for discretely observed Gaussian moving averages
• Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
• A weak law of large numbers for realised covariation in a Hilbert space setting
• The local fractional bootstrap
• A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
• Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
• High-frequency analysis of parabolic stochastic PDEs
• New central limit theorems for functionals of Gaussian processes and their applications
• On stochastic integration for volatility modulated Lévy-driven Volterra processes
• A weak limit theorem for numerical approximation of Brownian semi-stationary processes
• On limit theory for functionals of stationary increments Lévy driven moving averages
• A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities
• Assessing relative volatility/ intermittency/energy dissipation
• Asymptotic theory for Brownian semi-stationary processes with application to turbulence
• 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: Multipower variation for Brownian semistationary processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654402)