Bipower variation for Gaussian processes with stationary increments

Metadata only

Author

Date

2009

Type

Journal Article

ETH Bibliography

yes

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Publication status

published

External links

Journal / series

Journal of Applied Probability

Volume

46(1)

Pages / Article No.

132 - 150

Publisher

Applied Probability Trust

Subject

bipower variation; cental limit theorem; chaos expansion; Gaussian process; multiple Wiener-Itô integrals

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ETH Bibliography

yes

Altmetrics

Research Collection