3 papers
math.ST2020
Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
Imma Valentina Curato, Robert Stelzer, Bennet Ströh
We obtain central limit theorems for stationary random fields employing a novel measure of dependence called -lex weak dependence. We show that this dependence notion is more ge…
q-fin.ST2019
Stochastic leverage effect in high-frequency data: a Fourier based analysis
Imma Valentina Curato, Simona Sanfelici
The stochastic leverage effect, defined as the standardized covariation between the returns and their related volatility, is analyzed in a stochastic volatility model set-up. A nov…
math.PR2018
On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence
Dirk-Philip Brandes, Imma Valentina Curato
We consider a Lévy driven continuous time moving average process sampled at random times which follow a renewal structure independent of . Asymptotic normality of the sample…