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

07.05.2021, 10:15 am  –  online
SFB-Kolloquium

Almut Veraat (Imperial College London)

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).

*The colloquium will be conducted online - please see www.SFB1294.de for details.*