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@article{Barndorff-Nielsen:2014:10.1214/14-EJS942,
author = {Barndorff-Nielsen, OE and Pakkanen, MS and Schmiegel, J},
doi = {10.1214/14-EJS942},
journal = {Electronic Journal of Statistics},
pages = {1996--2021},
title = {Assessing Relative Volatility/Intermittency/Energy Dissipation},
url = {http://dx.doi.org/10.1214/14-EJS942},
volume = {8},
year = {2014}
}

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TY  - JOUR
AB  - We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated by a non-semimartingale, or a Brownian semistationary process in particular. This estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, but it is also applicable in other areas. We develop a probabilistic asymptotic theory for realised relative power variations of Brownian semistationary processes, and introduce inference methods based on the theory. We also discuss how to extend the asymptotic theory to other classes of processes exhibiting stochastic volatility/intermittency. As an empirical application, we study relative energy dissipation in data of atmospheric turbulence.
AU  - Barndorff-Nielsen,OE
AU  - Pakkanen,MS
AU  - Schmiegel,J
DO  - 10.1214/14-EJS942
EP  - 2021
PY  - 2014///
SN  - 1935-7524
SP  - 1996
TI  - Assessing Relative Volatility/Intermittency/Energy Dissipation
T2  - Electronic Journal of Statistics
UR  - http://dx.doi.org/10.1214/14-EJS942
UR  - http://arxiv.org/abs/1304.6683v2
VL  - 8
ER  -

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