Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes

TL;DR

This paper develops limit theorems for the realised semicovariance of multivariate Brownian semistationary processes, providing asymptotic distributions and convergence results for these non-linear functionals.

Contribution

It introduces the realised semicovariance for BSS processes and establishes its asymptotic properties, extending existing limit theorems for covariation.

Findings

Proved weak convergence of realised semicovariance for Gaussian processes

Established stable convergence and limit theorems for BSS processes

Extended limit theorems from covariation to non-linear functionals

Abstract

In this article we will introduce the realised semicovariance for Brownian semistationary (BSS) processes, which is obtained from the decomposition of the realised covariance matrix into components based on the signs of the returns, and study its in-fill asymptotic properties. More precisely, a weak convergence in the space of c\`adl\`ag functions endowed with the Skorohod topology for the realised semicovariance of a general Gaussian process with stationary increments is proved first. The methods are based on Breuer-Major theorems and on a moment bound for sums of products of Gaussian vector's functions. Furthermore, we establish a corresponding stable convergence. Finally, a weak law of large numbers and a central limit theorem for the realised semicovariance of multivariate BSS processes are established. These results extend the limit theorems for the realised covariation to a result for non-linear functionals.