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Volatility determination in an ambit process setting

Part of: Inference from stochastic processes Stochastic processes Stochastic analysis

Published online by Cambridge University Press:  14 July 2016

Ole E. Barndorff-Nielsen  and
Svend Erik Graversen
Ole E. Barndorff-Nielsen
Affiliation:
Aarhus University, Thiele Centre, Department of Mathematical Sciences, Aarhus University, Ny Munkegade 118, Building 1530, DK-8000 Aarhus C, Denmark. Email address: [email protected]
Svend Erik Graversen
Affiliation:
Aarhus University, Thiele Centre, Department of Mathematical Sciences, Aarhus University, Ny Munkegade 118, Building 1530, DK-8000 Aarhus C, Denmark. Email address: [email protected]
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Abstract

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The limit behaviour in probability of realised quadratic variation is discussed under a relatively simple ambit process setting. The relation of this to the underlying volatility/intermittency field is in focus, especially as concerns the question of no volatility/intermittency memory.

Keywords

Ambit fieldrealised quadratic variationvolatility memorylessness

MSC classification

Primary: 60G60: Random fields
Secondary: 60H99: None of the above, but in this section 62M30: Spatial processes
Type
Part 6. Statistics
Information
Journal of Applied Probability , Volume 48 , Issue A: New Frontiers in Applied Probability (Journal of Applied Probability Special Volume 48A) , August 2011 , pp. 263 - 275
Copyright
Copyright © Applied Probability Trust 2011 

References

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