Almut Veraart (Imperial College London)
Friday, May 7, 2021 - 10:15
SFB 1294 Colloquium, University of Potsdam
online, see www.SFB1294.de
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).
submitted by Liv Heinecke (liv.heinecke@uni-potsdam.de)