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Spectral characterization of the optional quadratic variation process

Author

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  • Dzhaparidze, Kacha
  • Spreij, Peter

Abstract

In this paper we show how the periodogram of a semimartingale can be used to characterize the optional quadratic variation process.

Suggested Citation

  • Dzhaparidze, Kacha & Spreij, Peter, 1994. "Spectral characterization of the optional quadratic variation process," Stochastic Processes and their Applications, Elsevier, vol. 54(1), pages 165-174, November.
    • Handle: RePEc:eee:spapps:v:54:y:1994:i:1:p:165-174
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    Citations

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    Cited by:

    1. Ehsan Azmoodeh & Esko Valkeila, 2013. "Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion," Statistical Inference for Stochastic Processes, Springer, vol. 16(2), pages 97-112, July.
    2. Capobianco, Enrico, 2004. "Multiscale stochastic dynamics in finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 122-127.
    3. repec:zbw:bofrdp:2008_005 is not listed on IDEAS
    4. Huhtala, Heli, 2008. "Along but beyond mean-variance: Utility maximization in a semimartingale model," Bank of Finland Research Discussion Papers 5/2008, Bank of Finland.
    5. Huhtala, Heli, 2008. "Along but beyond mean-variance : Utility maximization in a semimartingale model," Research Discussion Papers 5/2008, Bank of Finland.

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