Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion

Ehsan Azmoodeh () and Esko Valkeila ()

Statistical Inference for Stochastic Processes, 2013, vol. 16, issue 2, 97-112

Abstract: Dzhaparidze and Spreij (Stoch Process Appl, 54:165–174, 1994 ) showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This class contains both semimartingales and non-semimartingales. The motivation comes partially from the recent work by Bender et al. (Finance Stoch, 12:441–468, 2008 ), where it is shown that the quadratic variation of the log-returns determines the hedging strategy. Copyright Springer Science+Business Media Dordrecht 2013

Keywords: Fractional Brownian motion; Quadratic variation; Randomized periodogram; 60G15; 62M15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s11203-013-9079-9 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sistpr:v:16:y:2013:i:2:p:97-112

Ordering information: This journal article can be ordered from
http://www.springer. ... ty/journal/11203/PS2

DOI: 10.1007/s11203-013-9079-9

Access Statistics for this article

Statistical Inference for Stochastic Processes is currently edited by Denis Bosq, Yury A. Kutoyants and Marc Hallin

More articles in Statistical Inference for Stochastic Processes from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().