Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; … - School of Economics and Management, University of Aarhus - 2009
We present some new asymptotic results for functionals of higher order differences of Brownian semi-stationary processes. In an earlier work [4] we have derived a similar asymptotic theory for first order differences. However, the central limit theorems were valid only for certain values of the...