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

By Almut Veraart

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).

Informations about the video

Citation data

  • DOI 10.24350/CIRM.V.19655203
  • Cite this video Veraart Almut (9/17/20). 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

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. -

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