310 citations · 1.1k across the 52 of their papers we have counts for
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math.ST2012
A test for the rank of the volatility process: the random perturbation approach
Jean Jacod, Mark Podolskij
In this paper we present a test for the maximal rank of the matrix-valued volatility process in the continuous Ito semimartingale framework. Our idea is based upon a random perturb…
math.ST2012★ 72 cited
Multipower variation for Brownian semistationary processes
Ole E. Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij
In this paper we study the asymptotic behaviour of power and multipower variations of processes :\[Y_t=\int_{-\in fty}^tg(t-s)σ_sW(\mathrm{d}s)+Z_t,\] where $g:(0,\infty)\righta…