Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes

DOI10.1016/J.SPA.2022.10.001MaRDI QIDQ2105070zbMATH OpenOpenAlexWikidataFDO

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

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Cites work

• scientific article; zbMATH DE number 3225653 (Why is no real title available?)
• A central limit theorem for realised power and bipower variation of continuous semimartingales
• 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
• Asymptotics of weighted random sums
• BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
• Brownian semistationary processes and volatility/intermittency
• Discretization of processes.
• Limit theorems for multivariate Brownian semistationary processes and feasible results
• Measuring downside risk -- realized semivariance
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Moment bounds and central limit theorems for Gaussian subordinated arrays
• Multipower variation for Brownian semistationary processes
• Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
• Normal approximations with Malliavin calculus. From Stein's method to universality
• On mixing and stability of limit theorems
• Power variation for Gaussian processes with stationary increments
• Quantitative Breuer-Major theorems
• Realized semicovariances
• The functional Breuer-Major theorem

Cited in

(5)

• Limit theorems for multivariate Brownian semistationary processes and feasible results
• On non-standard limits of Brownian semi-stationary processes
• Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
• Mixed-normal limit theorems for multiple Skorohod integrals in high-dimensions, with application to realized covariance
• A central limit theorem for the realised covariation of a bivariate Brownian semistationary process

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