Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes

DOI10.1016/j.spa.2022.10.001OpenAlexW3209027122WikidataQ115058220 ScholiaQ115058220MaRDI QIDQ2105070

Yanyan Li

Publication date: 8 December 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.02366

zbMATH Keywords

Malliavin calculuscentral limit theorymultivariate Brownian semistationary processrealised semicovariance

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Functional limit theorems; invariance principles (60F17)

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