Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
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Publication:2105070
DOI10.1016/j.spa.2022.10.001OpenAlexW3209027122WikidataQ115058220 ScholiaQ115058220MaRDI QIDQ2105070
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
Malliavin calculuscentral limit theorymultivariate Brownian semistationary processrealised semicovariance
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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