Analyzing the Fine Structure of Continuous Time Stochastic Processes

DOI10.1007/978-3-0348-0021-1_26zbMath1416.62592OpenAlexW32296021MaRDI QIDQ2904892

Jeannette H. C. Woerner

Publication date: 24 August 2012

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0021-1_26

zbMATH Keywords

fractional Brownian motionstatistical inferenceLévy processHurst exponenthigh frequency datapower variationBlumenthal-Getoor indexstochastic volatility model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Economic time series analysis (91B84) Diffusion processes (60J60)

Related Items (8)

Estimating the degree of activity of jumps in high frequency data ⋮ Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps ⋮ Nonparametric tests for pathwise properties of semimartingales ⋮ Convergence of extreme values of Poisson point processes at small times ⋮ Testing for diffusion in a discretely observed semimartingale ⋮ Near-optimal estimation of jump activity in semimartingales ⋮ Testing for jumps in a discretely observed process ⋮ On the jump activity index for semimartingales

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