A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
File(s)CLT_revised_styled.pdf (448.93 KB) CentralLimitTheorem_supplementary_revised_styled.pdf (345.1 KB)
Accepted version
Supporting information
Author(s)
Granelli, Andrea
Veraart, A
Type
Journal Article
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.
The proofs rely heavily on recent developments in Malliavin calculus.
Date Issued
2019-06-12
Date Acceptance
2018-06-19
Citation
Bernoulli, 2019, 25 (3), pp.2245-2278
ISSN
1350-7265
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Start Page
2245
End Page
2278
Journal / Book Title
Bernoulli
Volume
25
Issue
3
Copyright Statement
© 2019 Bernoulli Society for Mathematical Statistics and Probability
Sponsor
Commission of the European Communities
Identifier
https://projecteuclid.org/euclid.bj/1560326444
Grant Number
FP7-PEOPLE-2012-CIG-321707
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
bivariate Brownian semistationary process
central limit theorem
fourth moment theorem
high frequency data
moving average process
multivariate setting
stable convergence
GAUSSIAN-PROCESSES
MULTIPOWER VARIATION
BIPOWER VARIATION
POWER VARIATION
FUNCTIONALS
VOLATILITY
0104 Statistics
1403 Econometrics
Statistics & Probability
Publication Status
Published
Date Publish Online
2019-06-12