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

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.

• Publication year

  2017

• Venue

  Bernoulli

• Publication date

  2017-07-26

• Fields of study

  Mathematics

• Identifiers
  DOI 10.3150/18-BEJ1052arXiv 1707.08507
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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