Abstract
This article presents a weak law of large numbers and a central limit theorem for the scaled realised covariation of a bivariate Brownian semistationary process. The novelty of our results lies in the fact that we derive the suitable asymptotic theory both in a multivariate setting and outside the classical semimartingale framework. The proofs rely heavily on recent developments in Malliavin calculus.
Citation
Andrea Granelli. Almut E.D. Veraart. "A central limit theorem for the realised covariation of a bivariate Brownian semistationary process." Bernoulli 25 (3) 2245 - 2278, August 2019. https://doi.org/10.3150/18-BEJ1052
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