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Multipower variation for Brownian semistationary processes

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Multipower variation for Brownian semistationary processes. / Barndorff-Nielsen, Ole Eiler; Corcuera, José Manuel; Podolskij, Mark.

In: Bernoulli, Vol. 17, No. 4, 2011, p. 1159-1194.

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Author

Barndorff-Nielsen, Ole Eiler ; Corcuera, José Manuel ; Podolskij, Mark. / Multipower variation for Brownian semistationary processes. In: Bernoulli. 2011 ; Vol. 17, No. 4. pp. 1159-1194.

Bibtex

@article{82a8ebb01ba011dfb95d000ea68e967b,
title = "Multipower variation for Brownian semistationary processes",
keywords = "Central limit theorem, Gaussian processes, intermittency, non-semimartingales, turbulence, volatility, Wiener chaos",
author = "Barndorff-Nielsen, {Ole Eiler} and Corcuera, {Jos{\'e} Manuel} and Mark Podolskij",
year = "2011",
doi = "10.3150/10-BEJ316",
language = "English",
volume = "17",
pages = "1159--1194",
journal = "Bernoulli",
issn = "1350-7265",
publisher = "International Statistical Institute",
number = "4",

}

RIS

TY - JOUR

T1 - Multipower variation for Brownian semistationary processes

AU - Barndorff-Nielsen, Ole Eiler

AU - Corcuera, José Manuel

AU - Podolskij, Mark

PY - 2011

Y1 - 2011

KW - Central limit theorem

KW - Gaussian processes

KW - intermittency

KW - non-semimartingales

KW - turbulence

KW - volatility

KW - Wiener chaos

U2 - 10.3150/10-BEJ316

DO - 10.3150/10-BEJ316

M3 - Journal article

VL - 17

SP - 1159

EP - 1194

JO - Bernoulli

JF - Bernoulli

SN - 1350-7265

IS - 4

ER -