A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
Probability
2017-07-27 v1 Statistics Theory
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1707.08507,
title = {A central limit theorem for the realised covariation of a bivariate Brownian semistationary process},
author = {Andrea Granelli and Almut E. D. Veraart},
journal= {arXiv preprint arXiv:1707.08507},
year = {2017}
}