Power variation of some integral fractional processes

By José Manuel Corcuera, David Nualart, Jeannette H. C. Woerner. 2006

130 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/013729c0f76b378e053d5cfd0b946e1d50bb4ab3

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Citations in the corpus

Central Limit Theorems for Multiple Skorokhod Integrals (2010, background): “[4]), quadratic functionals of bivariate Gaussian processes (Deheuvels et al.”
Quantitative Breuer-Major Theorems (2010, background): “ number of applications, of which we provide a representative (recent) sample: renormalization of fractional diﬀusions [1], power variations of Gaussian and Gaussian-related continuous-time processes [3, 4, 15, 21], Gaussian ﬂuctuations of heat-type equations [5], estimation of Hurst parameters of f”
Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017, methodology): “˙ sj pds and the drift parameter for any H2(0;1). We assume that the Hurst parameter His known or it can be estimated by other methods (for example, see [5] and the references therein). In the paper [10], Nualart, Corcuera and Woerner studied the asymptotic behavior of the power variation of the sto”
Exact Rate of Convergence of Some Approximation Schemes Associated to SDEs Driven by a Fractional Brownian Motion (2006, methodology): “In the fBm framework, such a phenomenon was already obtained in three recent papers for 1/2 5 ], the authors study the asymptotic behavior of the power variation of processes of the form � T 0 usdBs , while in [14] and [15] the asymptotic behavior of � t 0 f( X n”
Stein’s method on Wiener chaos (2007, background): “3 and its generalizations have been applied to a variety of frameworks, such as: p-variations of stochastic integrals with respect to Gaussian processes [2,12], quadratic functionals of bivariate Gaussian processes [14], selfintersection local times of fractional Brownian motion [24], approximation ”
Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion (2007, background): “If κ is even and H ∈ (1/2,3/4), then by Theorem 2 in León and Ludeña [9] (see also Corcuera, Nualart and Woerner [2] for related results on the asymptotic behavior of the p-variation of stochastic integrals with respect to B) we have, as n→∞: 1√ n n−1 ∑ k=0 h(Bk/n)[n κH(∆Bk/n) κ − µκ] Law−→ σH,κ ∫”
Bipower Variation for Gaussian Processes with Stationary Increments (2009, unknown): “Theorem 5 is also robust to the presence of the process Y (see again [14] for more details).”