Bipower variation for Gaussian processes with stationary increments

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.

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Year of publication:	2008-05-08
Authors:	Barndorff-Nielsen, Ole E. ; Corcuera, José Manuel ; Podolskij, Mark ; Woerner, Jeannette H.C.
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Bipower Variation \| Central Limit Theorem \| Chaos Expansion \| Gaussian Processes \| Multiple Wiener-Itô Integrals

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	2 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005440078