9 citations · 14 across the 5 of their papers we have counts for
3 papers · 1 filter
On limit theory for functionals of stationary increments Levy driven moving averages
Andreas Basse-O'Connor, Claudio Heinrich, Mark Podolskij
In this paper we obtain new limit theorems for variational functionals of high frequency observations of stationary increments Lévy driven moving averages. We will see that the asy…
On limit theory for Levy semi-stationary processes
Andreas Basse-O'Connor, Claudio Heinrich, Mark Podolskij
In this paper we present some limit theorems for power variation of Lévy semi-stationary processes in the setting of infill asymptotics. Lévy semi-stationary processes, which are a…
On spectral distribution of high dimensional covariation matrices
Claudio Heinrich, Mark Podolskij
In this paper we present the asymptotic theory for spectral distributions of high dimensional covariation matrices of Brownian diffusions. More specifically, we consider -dimens…