Matches in SemOpenAlex for { <https://semopenalex.org/work/W26793068> ?p ?o ?g. }
- W26793068 abstract "In this dissertation we introduce the realized two-step variation of stochastic processes and develop its asymptotic theory for processes based on fractional Brownian motion and on more general Gaussian processes with stationary increments. The realized two-step variation is analogous to the realized 1, 1-order bipower variation introduced by Barndorff-Nielsen and Shephard [8] but mathematically is simpler to deal with. The powerful techniques of Wiener/Ito/Malliavin calculus for establishing limit laws play a key rule in our proofs. We include some stochastic simulations as an illustration of our theory. As a result of our study, we provide test statistics for testing for jumps in high frequency data and establish their consistency and asymptotic normality under the null hypothesis that there are no jumps. Testing for jumps from high frequency data has important applications in Financial Mathematics." @default.
- W26793068 created "2016-06-24" @default.
- W26793068 creator A5074457323 @default.
- W26793068 date "2009-01-01" @default.
- W26793068 modified "2023-09-27" @default.
- W26793068 title "Two-Step Variations for Processes Driven by Fractional Brownian Motion With Application in Testing for Jumps From the High Frequency Data" @default.
- W26793068 cites W141291116 @default.
- W26793068 cites W1499969990 @default.
- W26793068 cites W1521617046 @default.
- W26793068 cites W1530054495 @default.
- W26793068 cites W1554577510 @default.
- W26793068 cites W1967071544 @default.
- W26793068 cites W1978094758 @default.
- W26793068 cites W2003490810 @default.
- W26793068 cites W2007910409 @default.
- W26793068 cites W2014111104 @default.
- W26793068 cites W2014903152 @default.
- W26793068 cites W2020182481 @default.
- W26793068 cites W2033230540 @default.
- W26793068 cites W2046091806 @default.
- W26793068 cites W2047359956 @default.
- W26793068 cites W2051235503 @default.
- W26793068 cites W2074366794 @default.
- W26793068 cites W2076469575 @default.
- W26793068 cites W2081133178 @default.
- W26793068 cites W2081877251 @default.
- W26793068 cites W2094206697 @default.
- W26793068 cites W2099146293 @default.
- W26793068 cites W2117306570 @default.
- W26793068 cites W2126001881 @default.
- W26793068 cites W2136215272 @default.
- W26793068 cites W2136505728 @default.
- W26793068 cites W2140540503 @default.
- W26793068 cites W2140664056 @default.
- W26793068 cites W2148080284 @default.
- W26793068 cites W2155804346 @default.
- W26793068 cites W2157858527 @default.
- W26793068 cites W2163822069 @default.
- W26793068 cites W2166702930 @default.
- W26793068 cites W2188127598 @default.
- W26793068 cites W2204538763 @default.
- W26793068 cites W2237865143 @default.
- W26793068 cites W2263098707 @default.
- W26793068 cites W2799137445 @default.
- W26793068 cites W2802739963 @default.
- W26793068 cites W3109381375 @default.
- W26793068 cites W3121693897 @default.
- W26793068 cites W3123342845 @default.
- W26793068 cites W3125593251 @default.
- W26793068 cites W3183085784 @default.
- W26793068 hasPublicationYear "2009" @default.
- W26793068 type Work @default.
- W26793068 sameAs 26793068 @default.
- W26793068 citedByCount "1" @default.
- W26793068 countsByYear W267930682013 @default.
- W26793068 crossrefType "journal-article" @default.
- W26793068 hasAuthorship W26793068A5074457323 @default.
- W26793068 hasConcept C101615488 @default.
- W26793068 hasConcept C105795698 @default.
- W26793068 hasConcept C108710211 @default.
- W26793068 hasConcept C108819105 @default.
- W26793068 hasConcept C112401455 @default.
- W26793068 hasConcept C118615104 @default.
- W26793068 hasConcept C121332964 @default.
- W26793068 hasConcept C121864883 @default.
- W26793068 hasConcept C134306372 @default.
- W26793068 hasConcept C151201525 @default.
- W26793068 hasConcept C163716315 @default.
- W26793068 hasConcept C185429906 @default.
- W26793068 hasConcept C199343813 @default.
- W26793068 hasConcept C2524010 @default.
- W26793068 hasConcept C2776436953 @default.
- W26793068 hasConcept C2777686260 @default.
- W26793068 hasConcept C28826006 @default.
- W26793068 hasConcept C3017618536 @default.
- W26793068 hasConcept C33923547 @default.
- W26793068 hasConcept C41008148 @default.
- W26793068 hasConcept C53920899 @default.
- W26793068 hasConcept C56739046 @default.
- W26793068 hasConcept C60391097 @default.
- W26793068 hasConcept C62520636 @default.
- W26793068 hasConcept C63331456 @default.
- W26793068 hasConcept C65778772 @default.
- W26793068 hasConcept C68710425 @default.
- W26793068 hasConcept C71924100 @default.
- W26793068 hasConcept C78045399 @default.
- W26793068 hasConcept C8272713 @default.
- W26793068 hasConcept C84629840 @default.
- W26793068 hasConcept C87007009 @default.
- W26793068 hasConcept C90087638 @default.
- W26793068 hasConceptScore W26793068C101615488 @default.
- W26793068 hasConceptScore W26793068C105795698 @default.
- W26793068 hasConceptScore W26793068C108710211 @default.
- W26793068 hasConceptScore W26793068C108819105 @default.
- W26793068 hasConceptScore W26793068C112401455 @default.
- W26793068 hasConceptScore W26793068C118615104 @default.
- W26793068 hasConceptScore W26793068C121332964 @default.
- W26793068 hasConceptScore W26793068C121864883 @default.
- W26793068 hasConceptScore W26793068C134306372 @default.
- W26793068 hasConceptScore W26793068C151201525 @default.