310 citations · 1.1k across the 52 of their papers we have counts for
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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…
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
José Manuel Corcuera, Emil Hedevang, Mikko S. Pakkanen +1
This paper presents some asymptotic results for statistics of Brownian semi-stationary (BSS) processes. More precisely, we consider power variations of BSS processes, which are bas…
Limit theorems for nondegenerate U-statistics of continuous semimartingales
Mark Podolskij, Christian Schmidt, Johanna F. Ziegel
This paper presents the asymptotic theory for nondegenerate -statistics of high frequency observations of continuous Itô semimartingales. We prove uniform convergence in probabi…
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…