A central limit theorem for the realised covariation of a bivariate Brownian semistationary process

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Title: A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
Authors: Granelli, A
Veraart, A
Item 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.
Date of Acceptance: 19-Jun-2018
URI: http://hdl.handle.net/10044/1/61602
ISSN: 1350-7265
Publisher: Bernoulli Society for Mathematical Statistics and Probability
Journal / Book Title: Bernoulli
Copyright Statement: This paper is embargoed until publication
Sponsor/Funder: Commission of the European Communities
Funder's Grant Number: FP7-PEOPLE-2012-CIG-321707
Keywords: 0104 Statistics
1403 Econometrics
Statistics & Probability
Publication Status: Accepted
Embargo Date: publication subject to indefinite embargo
Appears in Collections:Statistics
Faculty of Natural Sciences



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