Title: A central limit theorem for the realised covariation of a bivariate Brownian semistationary process,
Abstract: 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 results lies in the fact that we derive the
suitable asymptotic theory both in a multivariate setting and outside the
classical semimartingale framework. The proofs rely heavily on recent
developments in Malliavin calculus.