Appears in collection : New Results on Time Series and their Statistical Applications / Séries chronologiques: nouveaux résultats et applications statistiques
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).
By Solenne Gaucher
By Marta Catalano
