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- Other research product . Other ORP type . 2022Open Access DanishAuthors:Gregersen, Per L.; Madsen, Claus Krogh; Konnerup, Dennis; Boelt, Birte;Gregersen, Per L.; Madsen, Claus Krogh; Konnerup, Dennis; Boelt, Birte;Country: Denmark
- Other research product . Other ORP type . 2017Open Access DanishAuthors:Schmidt, Jesper Malling; Edelenbos, Merete;Schmidt, Jesper Malling; Edelenbos, Merete;Country: Denmark
- Other research product . Other ORP type . 2016Open Access DanishAuthors:Hansen, Elly Møller; Thomsen, Ingrid Kaag; Olesen, Jørgen Eivind;Hansen, Elly Møller; Thomsen, Ingrid Kaag; Olesen, Jørgen Eivind;Country: Denmark
- Other research product . Other ORP type . 2019Open Access DanishAuthors:Greve, Mogens Humlekrog; Pedersen, Birger Faurholt; Greve, Mette Balslev;Greve, Mogens Humlekrog; Pedersen, Birger Faurholt; Greve, Mette Balslev;Country: Denmark
- Other research product . Other ORP type . 2020Open Access DanishAuthors:Kryger, Per; Greve, Mette Balslev;Kryger, Per; Greve, Mette Balslev;Country: Denmark
- Other research product . Other ORP type . 2022Open Access DanishAuthors:Hendriksen, Niels Bohse; Stougaard, Peter;Hendriksen, Niels Bohse; Stougaard, Peter;Country: Denmark
- Other research product . Other ORP type . 2022Open Access EnglishAuthors:Schulz, Savhannah; Vermillet, Arnault-Quentin;Schulz, Savhannah; Vermillet, Arnault-Quentin;Country: Denmark
- Other research product . 2009Open Access EnglishAuthors:Barndorff-Nielsen, Ole; Corcuera, José Manuel; Podolskij, Mark;Barndorff-Nielsen, Ole; Corcuera, José Manuel; Podolskij, Mark;Publisher: Institut for Økonomi, Aarhus UniversitetCountry: Denmark
Department of Mathematics, ETH Zürich, HG G32.2, 8092 Zurich, SwitzerlandAbstract: In this paper we study the asymptotic behaviour of power and multipower variationsof stochatstic processes. Processes of the type considered serve in particular, to analyse data of velocity increments of a uid in a turbulence regime with spot intermittency sigma. The purpose of the present paper is to determine the probabilistic limit behaviour of the (multi)power variations of Y , as a basis for studying properties of the intermittency process. Notably the processes Y are in general not of the semimartingale kind and the established theory of multipower variation for semimartingales does not suffice for deriving the limit properties. As a key tool for the results a general central limit theorem for triangular Gaussian schemes is formulated and proved. Examples and an application to realised variance ratio are given.
- Other research product . Other ORP type . 2015Open Access DanishAuthors:Strandberg, Morten Tune; Ejrnæs, Rasmus;Strandberg, Morten Tune; Ejrnæs, Rasmus;Country: Denmark
- Other research product . Other ORP type . 2009Open Access DanishAuthors:Thomsen, Ingrid Kaag;Thomsen, Ingrid Kaag;Country: Denmark
1,447 Research products, page 1 of 145
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- Other research product . Other ORP type . 2022Open Access DanishAuthors:Gregersen, Per L.; Madsen, Claus Krogh; Konnerup, Dennis; Boelt, Birte;Gregersen, Per L.; Madsen, Claus Krogh; Konnerup, Dennis; Boelt, Birte;Country: Denmark
- Other research product . Other ORP type . 2017Open Access DanishAuthors:Schmidt, Jesper Malling; Edelenbos, Merete;Schmidt, Jesper Malling; Edelenbos, Merete;Country: Denmark
- Other research product . Other ORP type . 2016Open Access DanishAuthors:Hansen, Elly Møller; Thomsen, Ingrid Kaag; Olesen, Jørgen Eivind;Hansen, Elly Møller; Thomsen, Ingrid Kaag; Olesen, Jørgen Eivind;Country: Denmark
- Other research product . Other ORP type . 2019Open Access DanishAuthors:Greve, Mogens Humlekrog; Pedersen, Birger Faurholt; Greve, Mette Balslev;Greve, Mogens Humlekrog; Pedersen, Birger Faurholt; Greve, Mette Balslev;Country: Denmark
- Other research product . Other ORP type . 2020Open Access DanishAuthors:Kryger, Per; Greve, Mette Balslev;Kryger, Per; Greve, Mette Balslev;Country: Denmark
- Other research product . Other ORP type . 2022Open Access DanishAuthors:Hendriksen, Niels Bohse; Stougaard, Peter;Hendriksen, Niels Bohse; Stougaard, Peter;Country: Denmark
- Other research product . Other ORP type . 2022Open Access EnglishAuthors:Schulz, Savhannah; Vermillet, Arnault-Quentin;Schulz, Savhannah; Vermillet, Arnault-Quentin;Country: Denmark
- Other research product . 2009Open Access EnglishAuthors:Barndorff-Nielsen, Ole; Corcuera, José Manuel; Podolskij, Mark;Barndorff-Nielsen, Ole; Corcuera, José Manuel; Podolskij, Mark;Publisher: Institut for Økonomi, Aarhus UniversitetCountry: Denmark
Department of Mathematics, ETH Zürich, HG G32.2, 8092 Zurich, SwitzerlandAbstract: In this paper we study the asymptotic behaviour of power and multipower variationsof stochatstic processes. Processes of the type considered serve in particular, to analyse data of velocity increments of a uid in a turbulence regime with spot intermittency sigma. The purpose of the present paper is to determine the probabilistic limit behaviour of the (multi)power variations of Y , as a basis for studying properties of the intermittency process. Notably the processes Y are in general not of the semimartingale kind and the established theory of multipower variation for semimartingales does not suffice for deriving the limit properties. As a key tool for the results a general central limit theorem for triangular Gaussian schemes is formulated and proved. Examples and an application to realised variance ratio are given.
- Other research product . Other ORP type . 2015Open Access DanishAuthors:Strandberg, Morten Tune; Ejrnæs, Rasmus;Strandberg, Morten Tune; Ejrnæs, Rasmus;Country: Denmark
- Other research product . Other ORP type . 2009Open Access DanishAuthors:Thomsen, Ingrid Kaag;Thomsen, Ingrid Kaag;Country: Denmark