New Results on Time Series and their Statistical Applications / Séries chronologiques: nouveaux résultats et applications statistiques

Collection New Results on Time Series and their Statistical Applications / Séries chronologiques: nouveaux résultats et applications statistiques

Organizer(s) Bardet, Jean-Marc ; Eckley, Idris ; Fokianos, Konstantinos ; Neumann, Michael H. ; Philippe, Anne

Date(s) 14/09/2020 - 19/09/2020

linked URL https://conferences.cirm-math.fr/2233.html

00:00:00 / 00:00:00

5 5

Likelihood-based estimation, model selection, and forecasting of integer-valued trawl processes

By Almut Veraart

The class of integer-valued trawl processes has recently been introduced for modelling univariate and multivariate integer-valued time series with short or long memory.

In this talk, I will discuss recent developments with regards to model estimation, model selection and forecasting of such processes. The new methods will be illustrated in an empirical study of high-frequency financial data.

This is joint work with Mikkel Bennedsen (Aarhus University), Asger Lunde (Aarhus University) and Neil Shephard (Harvard University).

Information about the video

Date of recording 17/09/2020
Date of publication 09/10/2020
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.19655203
Cite this video Veraart, Almut (17/09/2020). Likelihood-based estimation, model selection, and forecasting of integer-valued trawl processes. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19655203
URL https://dx.doi.org/10.24350/CIRM.V.19655203

Domain(s)

Statistics Theory

Bibliography

Bennedsen, M., Lunde, A., Shephard, N., & Veraart, A. E. D. (2020). Likelihood-based estimation, model selection, and forecasting of integer-valued trawl processes. Work in progress. -

MSC codes

Document(s)

https://www.cirm-math.fr/RepOrga/2233/Slides/Veraart_TrawlTalk_Sep2020.pdf

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