Two-Step Variations for Processes Driven by Fractional Brownian Motion With Application in Testing for Jumps From the High Frequency Data
In this dissertation we introduce the realized two-step variation of stochastic processes and develop its asymptotic theory for processes based on fractional Brownian motion and on more general Gaussian processes with stationary increments. The realized two-step variation is analogous to the realize...
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| Format: | Others |
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Trace: Tennessee Research and Creative Exchange
2009
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| Online Access: | http://trace.tennessee.edu/utk_graddiss/93 |