Abstract
We consider the asymptotic behaviour of the realized power variation of processes of the form ∫ 0 t u s dB s H , where B H is a fractional Brownian motion with Hurst parameter H ∈(0,1) , and u is a process with finite q -variation, q <1/(1-H) . We establish the stable convergence of the corresponding fluctuations. These results provide new statistical tools to study and detect the long-memory effect and the Hurst parameter.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
