A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes

DOI10.1080/07362990601052201zbMath1128.60017OpenAlexW2083594364MaRDI QIDQ3423702

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

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990601052201

zbMATH Keywords

central limit theoremstable processesYoung inequality\(p\)-variationrealized power variation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Inference from stochastic processes (62M99) Self-similar stochastic processes (60G18)

Related Items (4)

Nonparametric inference of discretely sampled stable Lévy processes ⋮ Quantifying Model Uncertainties in Complex Systems ⋮ Tempered stable distributions and processes ⋮ Inference in Lévy-type stochastic volatility models

Cites Work

• Unnamed Item
• Unnamed Item
• Power variation of some integral fractional processes
• On mixing and stability of limit theorems
• Option pricing for a logstable asset price model
• An inequality of the Hölder type, connected with Stieltjes integration
• La variation d'ordre p des semi-martingales
• Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Financial Modelling with Jump Processes
• Estimation of integrated volatility in stochastic volatility models
• Power Variation and Time Change

This page was built for publication: A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes