Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes

DOI10.1016/J.SPA.2022.10.001OpenAlexW3209027122WikidataQ115058220 ScholiaQ115058220MaRDI QIDQ2105070FDOQ2105070

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

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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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Cited In (5)

• On non-standard limits of Brownian semi-stationary processes
• Limit theorems for multivariate Brownian semistationary processes and feasible results
• 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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