Limit theorems for multivariate Brownian semistationary processes and feasible results
From MaRDI portal
Publication:5203952
Abstract: In this paper we introduce the extit{multivariate} Brownian semistationary (BSS) processes and study the joint asymptotic behaviour of its realised covariation using in-fill asymptotics. First, we present a central limit theorem for general stationary multivariate Gaussian processes, which are not necessarily semimartingales. Then, we show weak laws of large numbers, central limit theorems and feasible results for BSS processes. An explicit example based on the so-called gamma kernels is also provided.
Recommendations
- Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
- On non-standard limits of Brownian semi-stationary processes
- Multipower variation for Brownian semistationary processes
- Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
Cites work
- scientific article; zbMATH DE number 3483022 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 1047469 (Why is no real title available?)
- scientific article; zbMATH DE number 3088518 (Why is no real title available?)
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
- Assessing relative volatility/ intermittency/energy dissipation
- Asymptotic Statistics
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Asymptotic theory for Brownian semi-stationary processes with application to turbulence
- Brownian semistationary processes and volatility/intermittency
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Hybrid scheme for Brownian semistationary processes
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Multipower variation for Brownian semistationary processes
- New central limit theorems for functionals of Gaussian processes and their applications
- 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
- Weak convergence and empirical processes. With applications to statistics
Cited in
(9)- Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
- Multipower variation for Brownian semistationary processes
- On non-standard limits of Brownian semi-stationary processes
- A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
- Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
- Gamma kernels and BSS/LSS processes
- BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
- A weak law of large numbers for realised covariation in a Hilbert space setting
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
This page was built for publication: Limit theorems for multivariate Brownian semistationary processes and feasible results
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5203952)
