112 citations · 479 across the 30 of their papers we have counts for
3 papers · 1 filter
Sticky continuous processes have consistent price systems
Christian Bender, Mikko S. Pakkanen, Hasanjan Sayit
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves wit…
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…
Limit theorems for power variations of ambit fields driven by white noise
Mikko S. Pakkanen
We study the asymptotics of lattice power variations of two-parameter ambit fields driven by white noise. Our first result is a law of large numbers for power variations. Under a c…