Volatility determination in an ambit process setting

DOI10.1239/JAP/1318940470MaRDI QIDQ3094490zbMATH OpenOpenAlexFDO

Authors Ole E. Barndorff-Nielsen, Svend-Erik Graversen

Publication date 25 October 2011

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1318940470

zbMATH Keywords

ambit fieldmemorylessnessrealized quadratic variation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random fields (60G60) Stochastic analysis (60H99) Inference from spatial processes (62M30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(8)

• High-frequency analysis of parabolic stochastic PDEs
• Functional limit theorems for generalized variations of the fractional Brownian sheet
• Ambit processes, their volatility determination and their applications
• Limit theorems for power variations of ambit fields driven by white noise
• Assessing relative volatility/ intermittency/energy dissipation
• Stationary infinitely divisible processes
• Research frontiers in ambit stochastics: in memory of Ole E. Barndorff-Nielsen
• Extending the volatility concept to point processes

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