Department of Economics and Business Economics

Assessing relative volatility/intermittency/energy dissipation

Research output: Research - peer-reviewJournal article

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 when the data of interest are generated by a non-semimartingale, or a Brownian semistationary process in particular. This estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, but it is also applicable in other areas. We develop a probabilistic asymptotic theory for realised relative power variations of Brownian semistationary processes, and introduce inference methods based on the theory. We also discuss how to extend the asymptotic theory to other classes of processes exhibiting stochastic volatility/intermittency. As an empirical application, we study relative energy dissipation in data of atmospheric turbulence.
Original languageEnglish
JournalElectronic Journal of Statistics
Volume8
Issue number2
Pages (from-to)1996-2021
Number of pages26
ISSN1935-7524
DOIs
StatePublished - 2014

Bibliographical note

Campus adgang til artiklen / Campus access to the article

    Research areas

  • Brownian semistationary process, Energy dissipation, Intermittency, Power variation, Turbulence, Volatility

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