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Asymptotic theory for relative power variations

Mikko Pakkanen
(Aarhus University)
Thiele Seminar
Wednesday, 27 February, 2013, at 13:15-14:00, in Aud. G2 (1532-122)
Typically, power variations of a Brownian semistationary (BSS) process converge in probability only if they are scaled appropriately, and such scaling depends on a unknown parameter. We introduce the concept of relative power variation, which is a feasible statistic that converges (without any additional scaling) to a relative integrated volatility functional. This consistency property is rather robust; in fact, it is valid for both BSS processes and Itô semimartingales. We also establish a stable functional central limit theorem for relative power variations in these settings. The talk is based on joint work with Ole E. Barndorff-Nielsen and Jürgen Schmiegel.
Organised by: Thiele Centre and CREATES
Contact person: Ole E. Barndorff-Nielsen