Assessing Relative Volatility/Intermittency/Energy Dissipation

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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.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider20
StatusUdgivet - 14 maj 2013
SerietitelCREATES Research Papers
Nummer2013-15

    Forskningsområder

  • Brownian semistationary process, energy dissipation, intermittency, power variation, turbulence, volatility.

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