Search Results - subject:"p-variation"

Tempered stable distributions and processes

Küchler, Uwe; Tappe, Stefan - In: Stochastic Processes and their Applications 123 (2013) 12, pp. 4256-4293

stable processes, we deal with density transformations and compute their p-variation indices. Exponential stock models driven …

Persistent link: https://www.econbiz.de/10011064946

Realised power variation and stochastic volatility models

Barndorff-Nielsen, Ole E.; Shephard, Neil - 2003

Limit distribution results on realized power variation, that is, sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers,...

Persistent link: https://www.econbiz.de/10009441447

Realised power variation and stochastic volatility models

Shephard, Neil; Barndorff-Nielsen, Ole E. - Department of Economics, Oxford University - 2002

Limit distribution results on realised power variation, that is sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers,...

Persistent link: https://www.econbiz.de/10010604913

Realised power variation and stochastic volatility models

Barndorff-Nielsen, Ole E.; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2001

Persistent link: https://www.econbiz.de/10005549198

The econometric survey of p-variation index

Žirgulevičiūtė, Jūratė - 2009

. The roughness is defined as p-variation index of the sample function graph. Methodology is based on linear regression of …. Conclusions are generalized using Monte-Carlo procedure. The confidence intervals for the p-variation index was constructed making … assumption that the process is the realisation of -stable or fractional Brownian motion. The p-variation index was estimated for …

Persistent link: https://www.econbiz.de/10009479241

Quasi-sure p-variation of fractional Brownian motion

Cao, Guilan; He, Kai - In: Statistics & Probability Letters 77 (2007) 5, pp. 543-548

In this paper, we prove that for the fractional Brownian motion Bt with Hurst parameter H, the quasi-sure limit of the form is zero, where , p>1/H.

Persistent link: https://www.econbiz.de/10005223757

Functional asymptotic behavior of some random multilinear forms

Cadre, Benoît - In: Stochastic Processes and their Applications 68 (1997) 1, pp. 49-64

From simple and natural assumptions, we study the functional asymptotic behavior in law of some random multilinear forms in martingale differences.

Persistent link: https://www.econbiz.de/10008874360