Bipower variation for Gaussian processes with stationary increments

Journal of Applied Probability

Volumn 46, Issue 1, 2009, Pages 132-150

  Barndorff Nielsen, Ole E ^a   Corcuera, José Manuel ^b   Podolskij, Mark ^a,d   Woerner, Jeannette H C ^c,e  

^a AARHUS UNIVERSITY   (Denmark)

^b UNIVERSITY OF BARCELONA   (Spain)

^c UNIVERSITY OF GÖTTINGEN   (Germany)

^d ETH ZURICH   (Switzerland)

^e Inst F Mathematische Stochastik   (Germany)

Author keywords

Bipower variation; Central limit theorem; Chaos expansion; Gaussian process; Multiple wiener it integrals

Indexed keywords

EID: 64249110018     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1238592121     Document Type: Article

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