112 citations · 479 across the 30 of their papers we have counts for
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stat.AP2014★ 10 cited
Discretization of Lévy semistationary processes with application to estimation
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
Motivated by the construction of the Itô stochastic integral, we consider a step function method to discretize and simulate volatility modulated Lévy semistationary processes. More…
math.PR2014★ 10 cited
Functional limit theorems for generalized variations of the fractional Brownian sheet
Mikko S. Pakkanen, Anthony Réveillac
We prove functional central and non-central limit theorems for generalized variations of the anisotropic -parameter fractional Brownian sheet (fBs) for any natural number . W…