Assessing Relative Volatility/Intermittency/Energy Dissipation

Ole Barndorff-Nielsen, Mikko S. Pakkanen () and Jürgen Schmiegel ()
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Mikko S. Pakkanen: Aarhus University and CREATES, Postal: Department of Economics and Business, Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Jürgen Schmiegel: Aarhus University, Postal: The T.N. Thiele Centre for Mathematics in Natural Science and Department of Engineering, Aarhus University, Finlandsgade 22, 8200 Aarhus N, Denmark

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

Abstract: We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian semistationary process in particular. While this estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, we apply it also to energy price data. Moreover, we develop a probabilistic asymptotic theory for relative power variations of Brownian semistationary processes and Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency.

Keywords: Brownian semistationary process; energy dissipation; intermittency; power variation; turbulence; volatility. (search for similar items in EconPapers)
JEL-codes: C10 C14 (search for similar items in EconPapers)
Pages: 20
Date: 2013-07-05
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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