2 citations · 2 across the 3 of their papers we have counts for
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Limit theorems for multivariate Brownian semistationary processes and feasible results
Riccardo Passeggeri, Almut E. D. Veraart
In this paper we introduce the \textit{multivariate} Brownian semistationary (BSS) processes and study the joint asymptotic behaviour of its realised covariation using in-fill asym…
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…
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…
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
Ambit stochastics is the name for the theory and applications of ambit fields and ambit processes and constitutes a new research area in stochastics for tempo-spatial phenomena. Th…