Article (Scientific journals)
Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion
Azmoodeh, Ehsan; Valkeila, Esko
2013In Statistical Inference for Stochastic Processes, 16 (2), p. 97-112
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Keywords :
Fractional Brownian motion; Quadratic variation; Randomized periodogram
Abstract :
[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.
Disciplines :
Mathematics
Author, co-author :
Azmoodeh, Ehsan ;  University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit
Valkeila, Esko
External co-authors :
yes
Language :
English
Title :
Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion
Publication date :
July 2013
Journal title :
Statistical Inference for Stochastic Processes
ISSN :
1572-9311
Publisher :
Springer
Volume :
16
Issue :
2
Pages :
97-112
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBilu :
since 01 April 2016

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