A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
From MaRDI portal
Publication:2419676
DOI10.3150/18-BEJ1052zbMath1466.60166arXiv1707.08507OpenAlexW2964083287MaRDI QIDQ2419676
Almut E. D. Veraart, A. Granelli
Publication date: 14 June 2019
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.08507
central limit theoremmoving average processhigh-frequency datastable convergencefourth moment theorembivariate Brownian semistationary processmultivariate setting
Central limit and other weak theorems (60F05) Brownian motion (60J65) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (4)
A central limit theorem for the realised covariation of a bivariate Brownian semistationary process ⋮ Limit theorems for multivariate Brownian semistationary processes and feasible results ⋮ A weak law of large numbers for realised covariation in a Hilbert space setting ⋮ Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Discretization of processes.
- Multipower variation for Brownian semistationary processes
- Power variation of some integral fractional processes
- A note on the central limit theorem for bipower variation of general functions
- Power variation for Gaussian processes with stationary increments
- Gaussian moving averages and semimartingales
- Quadratic covariation and an extension of Itô's formula
- New central limit theorems for functionals of Gaussian processes and their applications
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
- Asymptotic theory for Brownian semi-stationary processes with application to turbulence
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Limit theorems for multipower variation in the presence of jumps
- Central limit theorems for sequences of multiple stochastic integrals
- Limit theorems for bipower variation of semimartingales
- Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes
- Normal Approximations with Malliavin Calculus
- Asymptotics of weighted random sums
- Bipower Variation for Gaussian Processes with Stationary Increments
- La variation d'ordre p des semi-martingales
- Volatility is rough
- Gamma Kernels and BSS/LSS Processes
- Pricing under rough volatility
- BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Hybrid scheme for Brownian semistationary processes
This page was built for publication: A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
