Department of Economics and Business Economics

Assessing Relative Volatility/Intermittency/Energy Dissipation

Research output: ResearchWorking paper

Documents

  • Rp13 15

    Submitted manuscript, 673 KB, PDF-document

We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian semistationary process in particular. While this estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, we apply it also to energy price data. Moreover, we develop a probabilistic asymptotic theory
for relative power variations of Brownian semistationary processes and Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency.
Original languageEnglish
Place of PublicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages20
StatePublished - 14 May 2013
SeriesCREATES Research Papers
Number2013-15

See relations at Aarhus University Citationformats

Download statistics

No data available

ID: 54098471