2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.PR2017
A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
Andrea Granelli, Almut E. D. Veraart
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…
math.PR2017★ 2 cited
A weak law of large numbers for estimating the correlation in bivariate Brownian semistationary processes
Andrea Granelli, Almut E. D. Veraart
This article presents various weak laws of large numbers for the so-called realised covariation of a bivariate stationary stochastic process which is not a semimartingale. More pre…