Multipower Variation for Brownian Semistationary Processes

By Ole E. Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij. 2011

86 citations recorded by the source corpus.

In this paper we study the asymptotic behaviour of power and multipower variations of processes Y : Yt = Z t 1 g(t s) sW (ds) +Zt

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/7acde76943382387770e05d798be20b6fc1e941a

Citations in the corpus

• Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes (2009, unknown): “7) is indeed finite; see Theorem 2 in [4] and its proof for more details.”