94 citations · 133 across the 33 of their papers we have counts for
Showing 2020 · math.PRShow all
2 papers · 2 filters
math.PR2020
A weak law of large numbers for realised covariation in a Hilbert space setting
Fred Espen Benth, Dennis Schroers, Almut E. D. Veraart
This article generalises the concept of realised covariation to Hilbert-space-valued stochastic processes. More precisely, based on high-frequency functional data, we construct an…
math.PR2020★ 3 cited
Limit Theorems for Trawl Processes
Mikko S. Pakkanen, Riccardo Passeggeri, Orimar Sauri +1
In this work we derive limit theorems for trawl processes. First,we study the asymptotic behaviour of the partial sums of the discretized trawl process $(X_{iΔ_{n}})_{i=0}^{\lfloor…