Reference : Spectral characterization of the quadratic variation of mixed Brownian–fractional Bro...
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/10993/26394
Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion
English
Azmoodeh, Ehsan [University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit >]
Valkeila, Esko []
Jul-2013
Statistical Inference for Stochastic Processes
Springer
16
2
97-112
Yes (verified by ORBilu)
1387-0874
1572-9311
[en] Fractional Brownian motion ; Quadratic variation ; Randomized periodogram
[en] Dzhaparidze and Spreij (Stoch Process Appl, 54:165–174, 1994) showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This class contains both semimartingales and non-semimartingales. The motivation comes partially from the recent work by Bender et al. (Finance Stoch, 12:441–468, 2008), where it is shown that the quadratic variation of the log-returns determines the hedging strategy.
http://hdl.handle.net/10993/26394
10.1007/s11203-013-9079-9

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