Bipower Variation for Gaussian Processes with Stationary Increments-Reference-Cited by-同舟云学术

Bipower Variation for Gaussian Processes with Stationary Increments

Published:2009-03 Issue:1 Volume:46 Page:132-150
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Barndorff-Nielsen Ole E.,Corcuera José Manuel,Podolskij Mark,Woerner Jeannette H. C.

Abstract

Convergence in probability and central limit laws of bipower variation for Gaussian processes with stationary increments and for integrals with respect to such processes are derived. The main tools of the proofs are some recent powerful techniques of Wiener/Itô/Malliavin calculus for establishing limit laws, due to Nualart, Peccati, and others.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference34 articles.

1. An inequality of the Hölder type, connected with Stieltjes integration

2. Inference in Lévy-type stochastic volatility models

3. Power and Multipower Variation: inference for high frequency data

4. Central limit theorems for sequences of multiple stochastic integrals

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