This paper analyses multivariate high frequency financial data using realised covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis and covariance. It will be based on a fixed interval of time (e.g. a day or week), allowing the...

This paper looks at some recent work on estimating quadratic variation using realised volatility (RV) - that is sums of M squared returns. When the underlying process is a semimartingale we recall the fundamental result that RV is a consistent estimator of quadratic variation (QV). We express...

In this paper we provide a systematic study of the robustness of probability limits and central limit theory for realised multipower variation when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale.

This paper presents the study of a structure composed of a wind turbine, a speed multiplier and an asynchronous generator coupled to the infinite power network through a line of energy transfer electric modelled by an R–L circuit. After modelling of the global system, the behaviour of the...

This paper analyses multivariate high frequency financial data using realised covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis and covariance. It will be based on a fixed interval of time (e.g. a day or week), allowing the...

The pitch control of wind generators is usually made by a feed back control concept. However, under the conditions where a wind speed changes very frequently due to geographic reasons of the site and the target system has large rotor inertia, the feed back signal which is applied to the control...