Modified weighted power variations of the Hermite process and applications to integrated volatility

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Authors: Antoine Ayache, Laurent Loosveldt, Ciprian Tudor
Cited by: 0

Abstract

We study the asymptotic behaviour of modified weighted power variations of the Hermite process of arbitrary order. By selecting suitable "good" increments and exploiting their decomposition into dominant independent components, we establish a central limit theorem for weighted $p$-variations using tools from Stein-Malliavin calculus. Our results extend previous works on modified quadratic and wavelet-based variations to general powers and to weighted settings, with explicit bounds in Wasserstein distance. We further apply these limit theorems to construct asymptotically Gaussian estimators of integrated volatility in Hermite-driven models, thereby extending fBm-based methods to non-Gaussian settings. The last part of our work contains numerical simulations which illustrate the practical performance of the proposed estimators.

Fields of Study & Subjects

Financial Risk and Volatility Modeling Stochastic processes and financial applications Random Matrices and Applications

Publication details

Journal / source
arXiv (Cornell University)
Publication date
5 January 2026
Document type
Preprint