activity
20122026
most citedModelling energy spot prices by volatility modulated Lévy-driven Volterra processes

94 citations · 133 across the 33 of their papers we have counts for

collaborators
Showing 2021 · math.PRShow all

1 paper · 2 filters

math.PR2021

Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes

Yuan Li, Mikko S. Pakkanen, Almut E. D. Veraart

In this article we will introduce the realised semicovariance for Brownian semistationary (BSS) processes, which is obtained from the decomposition of the realised covariance matri…