Assessing relative volatility/ intermittency/energy dissipation
From MaRDI portal
Publication:470490
DOI10.1214/14-EJS942zbMath1302.60115arXiv1304.6683OpenAlexW1967727656MaRDI QIDQ470490
Jürgen Schmiegel, Mikko S. Pakkanen, Ole Eiler Barndorff-Nielsen
Publication date: 12 November 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.6683
Non-Markovian processes: estimation (62M09) Statistical turbulence modeling (76F55) Generalizations of martingales (60G48) Meteorology and atmospheric physics (86A10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items
Ambit Fields: Survey and New Challenges, Large and moderate deviations for stochastic Volterra systems, Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields, Limit theorems for power variations of ambit fields driven by white noise, The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes, High-frequency analysis of parabolic stochastic PDEs, On limit theory for Lévy semi-stationary processes, Hybrid scheme for Brownian semistationary processes, The local fractional bootstrap, Limit theorems for multivariate Brownian semistationary processes and feasible results, Some Recent Developments in Ambit Stochastics, Gamma Kernels and BSS/LSS Processes, Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Limit theorems for power variations of ambit fields driven by white noise
- Multipower variation for Brownian semistationary processes
- Power variation of some integral fractional processes
- On mixing and stability of limit theorems
- Testing the type of a semi-martingale: Itō against multifractal
- Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
- Goodness-of-fit testing for fractional diffusions
- Estimating the scaling function of multifractal measures and multifractal random walks using ratios
- Asymptotic theory for Brownian semi-stationary processes with application to turbulence
- Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes
- Volatility determination in an ambit process setting
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Convergence of the Structure Function of a Multifractal Random Walk in a Mixed Asymptotic Setting
- Testing Statistical Hypotheses
- Progress in the Statistical Theory of Turbulence
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Hybrid scheme for Brownian semistationary processes
