Aarhus University Seal / Aarhus Universitets segl

On non-standard limits of Brownian semi-stationary processes

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Dokumenter

  • pdf

    275 KB, PDF-dokument

DOI

  • Kerstin Gärtner, University of Veterinary Medicine, Vienna, Danmark
  • Mark Podolskij
In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary processes. More precisely, we will show that singularities in the weight function, which is one of the ingredients of a BSS process, may lead to non-standard limits of the realised quadratic variation. In this case the limiting process is a convex combination of shifted integrals of the intermittency function. Furthermore, we will demonstrate the corresponding stable central limit theorem. Finally, we apply the probabilistic theory to study the asymptotic properties of the realised ratio statistics, which estimates the smoothness parameter of a BSS process.
OriginalsprogEngelsk
TidsskriftStochastic Processes and Their Applications
Vol/bind125
Nummer2
Sider (fra-til)653-677
Antal sider25
ISSN0304-4149
DOI
StatusUdgivet - 2015

Se relationer på Aarhus Universitet Citationsformater

Download-statistik

Ingen data tilgængelig

ID: 79219907