94 citations · 133 across the 33 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…
Hybrid simulation scheme for volatility modulated moving average fields
Claudio Heinrich, Mikko S. Pakkanen, Almut E. D. Veraart
We develop a simulation scheme for a class of spatial stochastic processes called volatility modulated moving averages. A characteristic feature of this model is that the behaviour…
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…
Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein-Uhlenbeck processes
Michele Nguyen, Almut E. D. Veraart
While short-range dependence is widely assumed in the literature for its simplicity, long-range dependence is a feature that has been observed in data from finance, hydrology, geop…
Mixing properties of multivariate infinitely divisible random fields
Riccardo Passeggeri, Almut E. D. Veraart
In this work we present different results concerning mixing properties of multivariate infinitely divisible (ID) stationary random fields. First, we derive some necessary and suffi…