M. Podolskij (Aarhus University, Denmark)
Wednesday, October 17, 2018 - 10:00
Weierstraß-Institut
Mohrenstr. 39, 10117 Berlin, Erhard-Schmidt-Hörsaal, Erdgeschoss
Forschungsseminar Mathematische Statistik
In recent years, fractional and moving average type models have gained popularity in economics and finance. Most popular examples include fractional Brownian/stable motion, rough volatility models and Hawkes processes. In this talk we will review some existing estimation methods and present new theoretical results.
submitted by chschnei (christine.schneider@wias-berlin.de, 030 20372574)