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Bipower variation for Gaussian processes with stationary increments

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  • Institut for Matematiske Fag
  • Institut for Økonomi
  • Center for Tidsrækkeøkonometri (CREATES)
Convergence in probability and central limit laws of bipower variation for Gaussian processes with stationary increments and for integrals with respect to such processes are derived. The main tools of the proofs are some recent powerful techniques of Wiener/Itô/Malliavin calculus for establishing limit laws, due to Nualart, Peccati, and others.
OriginalsprogEngelsk
TidsskriftJournal of Applied Probability
Vol/bind46
Nummer1
Sider (fra-til)132-150
Antal sider19
ISSN0021-9002
DOI
StatusUdgivet - 2009

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