Multipower Variation for Brownian Semistationary Processes

Ole Barndorff-Nielsen, José Manuel Corcuera () and Mark Podolskij ()
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José Manuel Corcuera: Universitat de Barcelona, Postal: Universitat de Barcelona, Gran Via de les Corts Catalanes 585, 08007 Barcelona, Spain

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: In this paper we study the asymptotic behaviour of power and multipower variations of stochastic processes. Processes of the type considered serve in particular, to analyse data of velocity increments of a fluid in a turbulence regime with spot intermittency sigma. The purpose of the present paper is to determine the probabilistic limit behaviour of the (multi)power variations of Y, as a basis for studying properties of the intermittency process. Notably the processes Y are in general not of the semimartingale kind and the established theory of multipower variation for semimartingales does not suffice for deriving the limit properties. As a key tool for the results a general central limit theorem for triangular Gaussian schemes is formulated and proved. Examples and an application to realised variance ratio are given.

Keywords: Central Limit Theorem; Gaussian Processes; Intermittency; Nonsemimartingales; Turbulence; Volatility; Wiener Chaos (search for similar items in EconPapers)
JEL-codes: C10 C80 (search for similar items in EconPapers)
Pages: 45
Date: 2009-05-26
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (5)

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