We consider the asymptotic behaviour of the realized power variation of processes of the form , where is a fractional Brownian motion with Hurst parameter , and is a process with finite -variation, . We establish the stable convergence of the corresponding fluctuations. These results provide new statistical tools to study and detect the long-memory effect and the Hurst parameter.
"Power variation of some integral fractional processes." Bernoulli 12 (4) 713 - 735, aug 2006. https://doi.org/10.3150/bj/1155735933