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Bipower Variation for Gaussian Processes with Stationary Increments
Work
Year: 2009
Type: article
Abstract: Convergence in probability and central limit laws of bipower variation for Gaussian processes with stationary increments and for integrals with respect to such processes are derived. The main tools of... more
Source: Journal of Applied Probability
Authors Ole E. Barndorff‐Nielsen, José Manuel Corcuera, Mark Podolskij, Jeannette H. C. Woerner
Institutions Aarhus University, Universitat de Barcelona, University of Göttingen
Cites: 37
Cited by: 37
Related to: 10
FWCI: 2.377
Citation percentile (by year/subfield): 92.69
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: bronze