Power variation of some integral fractional processes

DOI10.3150/bj/1155735933zbMath1130.60058OpenAlexW2076176205MaRDI QIDQ850768

Jeannette H. C. Woerner, José Manuel Corcuera, David Nualart

Publication date: 6 November 2006

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1155735933

zbMATH Keywords

fractional Brownian motionlong memorycentral and non-central limit theorems

Mathematics Subject Classification ID

Related Items (62)

Quantitative stable limit theorems on the Wiener space ⋮ Testing long memory based on a discretely observed process ⋮ Ambit Fields: Survey and New Challenges ⋮ A Berry-Esséen bound for \(H\)-variation of a Gaussian process ⋮ Stein's method on Wiener chaos ⋮ Quantifying Model Uncertainties in Complex Systems ⋮ Volatility of volatility: estimation and tests based on noisy high frequency data with jumps ⋮ Variations of the solution to a fourth order time-fractional stochastic partial integro-differential equation ⋮ Weak symmetric integrals with respect to the fractional Brownian motion ⋮ The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2 ⋮ Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion ⋮ Estimation of the Hurst parameter in the simultaneous presence of jumps and noise ⋮ Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps ⋮ Ambit Processes, Their Volatility Determination and Their Applications ⋮ New central limit theorems for functionals of Gaussian processes and their applications ⋮ Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences ⋮ Convergence of some random functionals of discretized semimartingales ⋮ Statistical inference for models driven by 𝑛-th order fractional Brownian motion ⋮ A central limit theorem for the realised covariation of a bivariate Brownian semistationary process ⋮ Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders ⋮ Volatility estimation in fractional Ornstein-Uhlenbeck models ⋮ Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs ⋮ An \(\alpha\)-order fractional Brownian motion with Hurst index \(H \in (0,1)\) and \(\alpha \in \mathbb{R}_+\) ⋮ Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift ⋮ High-frequency analysis of parabolic stochastic PDEs ⋮ Central and non-central limit theorems for weighted power variations of fractional Brownian motion ⋮ A note on parameter estimation for discretely sampled SPDEs ⋮ Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion ⋮ Asymptotic theory for Brownian semi-stationary processes with application to turbulence ⋮ Assessing relative volatility/ intermittency/energy dissipation ⋮ Central limit theorems for power variation of Gaussian integral processes with jumps ⋮ Power variation of multiple fractional integrals ⋮ Discrete rough paths and limit theorems ⋮ Asymptotic distributions for power variation of the solution to a stochastic heat equation ⋮ Stable convergence of multiple Wiener--Itô integrals ⋮ On discrete time hedging errors in a fractional Black-Scholes model ⋮ Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion ⋮ Asymptotic distributions for power variations of the solution to the spatially colored stochastic heat equation ⋮ Central limit theorems for multiple stochastic integrals and Malliavin calculus ⋮ Central limit theorems for multiple Skorokhod integrals ⋮ Some properties of the sub-fractional Brownian motion ⋮ Volatility estimation of general Gaussian Ornstein-Uhlenbeck process ⋮ Quantitative Breuer-Major theorems ⋮ Power variation of fractional integral processes with jumps ⋮ Inference in Lévy-type stochastic volatility models ⋮ Milstein's type schemes for fractional SDEs ⋮ Asymptotic expansion of Skorohod integrals ⋮ Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind ⋮ Total variation estimates in the Breuer-Major theorem ⋮ Bipower Variation for Gaussian Processes with Stationary Increments ⋮ Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion ⋮ Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion ⋮ Power variation for Gaussian processes with stationary increments ⋮ Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes ⋮ A Law of Large Numbers for the Power Variation of Fractional Lévy Processes ⋮ A weak law of large numbers for realised covariation in a Hilbert space setting ⋮ Asymptotics for discrete time hedging errors under fractional Black-Scholes models ⋮ Fluctuations for matrix-valued Gaussian processes ⋮ Convergence of certain functionals of integral fractional processes ⋮ A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes ⋮ Fluctuations of the power variation of fractional Brownian motion in Brownian time ⋮ Weighted power variation of integrals with respect to a Gaussian process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Central limit theorems for non-linear functionals of Gaussian fields
• On mixing and stability of limit theorems
• Realized power variation and stochastic volatility models
• Renormalized self-intersection local time for fractional Brownian motion
• Central limit theorems for sequences of multiple stochastic integrals
• An inequality of the Hölder type, connected with Stieltjes integration
• Stable Convergence of Certain Functionals of Diffusions Driven by fBm
• CLT and other limit theorems for functionals of Gaussian processes
• Variational Sums for Additive Processes
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
• Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Estimation of integrated volatility in stochastic volatility models
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

This page was built for publication: Power variation of some integral fractional processes