112 citations · 479 across the 30 of their papers we have counts for
3 papers · 1 filter
Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes
Phillip Murray, Riccardo Passeggeri, Almut E. D. Veraart +1
This article studies the finite sample behaviour of a number of estimators for the integrated power volatility process of a Brownian semistationary process in the non semi-martinga…
The Local Fractional Bootstrap
Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde +1
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample p…
Assessing Relative Volatility/Intermittency/Energy Dissipation
Ole E. Barndorff-Nielsen, Mikko S. Pakkanen, Jürgen Schmiegel
We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volat…