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- W2737896433 abstract "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 precisely, we consider two cases: Bivariate moving average processes with stochastic correlation and bivariate Brownian semistationary processes with stochastic correlation. In both cases, we can show that the (possibly scaled) realised covariation converges to the integrated (possibly volatility modulated) stochastic correlation process." @default.
- W2737896433 created "2017-07-31" @default.
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- W2737896433 date "2017-07-26" @default.
- W2737896433 modified "2023-09-27" @default.
- W2737896433 title "A weak law of large numbers for estimating the correlation in bivariate Brownian semistationary processes" @default.
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