Bipower Variation for Gaussian Processes with Stationary Increments

29 Pages Posted: 22 Jun 2008

See all articles by Ole E. Barndorff-Nielsen

Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences

José Manuel Corcuera

University of Barcelona

Mark Podolskij

Aarhus University - School of Business and Social Sciences

Jeanette Woerner

affiliation not provided to SSRN

Date Written: May 8, 2008

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 the proofs are some recent powerful techniques of Wiener/Itô/Malliavin calculus for establishing limit laws, due to Nualart, Peccati and others.

Keywords: Bipower Variation, Central Limit Theorem, Chaos Expansion, Gaussian Processes, Multiple Wiener-Itô Integrals

Suggested Citation

Barndorff-Nielsen, Ole E. and Corcuera, José Manuel and Podolskij, Mark and Woerner, Jeanette, Bipower Variation for Gaussian Processes with Stationary Increments (May 8, 2008). Available at SSRN: https://ssrn.com/abstract=1148172 or http://dx.doi.org/10.2139/ssrn.1148172

Ole E. Barndorff-Nielsen (Contact Author)

University of Aarhus - Thiele Centre, Department of Mathematical Sciences ( email )

Ny Munkegade
Aarhus, DK 8000
Denmark

José Manuel Corcuera

University of Barcelona ( email )

Gran Via de les Corts Catalanes, 585
Barcelona, 08007
Spain

Mark Podolskij

Aarhus University - School of Business and Social Sciences ( email )

Building 350
DK-8000 Aarhus C
Denmark

Jeanette Woerner

affiliation not provided to SSRN ( email )

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