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Asymptotic theory for Brownian semi-stationary processes with application to turbulence
Corcuera, José Manuel; Hedevang, Emil; Pakkanen, Mikko S. - 2012
Persistent link: https://www.econbiz.de/10009667365
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Limit theorems for power variations of ambit fields driven by white noise
Pakkanen, Mikko S. - 2013
Persistent link: https://www.econbiz.de/10009687736
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Sticky continuous processes have consistent price systems
Bender, Christian; Pakkanen, Mikko S.; Sayit, Hasanjan - 2013
Persistent link: https://www.econbiz.de/10010206208
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Assessing relative volatility/intermittency/energy dissipation
Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; … - 2013
Persistent link: https://www.econbiz.de/10009741420
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Discretization of Lévy semistationary processes with application to estimation
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2014
Persistent link: https://www.econbiz.de/10010388017
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Functional limit theorems for generalized variations of the fractional Brownian sheet
Pakkanen, Mikko S.; Réveillac, Anthony - 2014
Persistent link: https://www.econbiz.de/10010346664
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Arbitrage without borrowing or short selling?
Pakkanen, Mikko S.; Lukkarinen, Jani - 2016
Persistent link: https://www.econbiz.de/10011474727
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The local fractional bootstrap
Bennedsen, Mikkel; Hounyo, Ulrich; Lunde, Asger; … - 2016
Persistent link: https://www.econbiz.de/10011474807
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Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2015
Persistent link: https://www.econbiz.de/10011343494
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Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2017
Persistent link: https://www.econbiz.de/10011706192