Gärtner, Kerstin; Podolskij, Mark - In: Stochastic Processes and their Applications 125 (2015) 2, pp. 653-677
In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary (BSS) processes. More precisely, we will show that singularities in the weight function, which is one of the ingredients of a BSS process, may lead to non-standard limits of the...