Français
Likelihood-based estimation, model selection, and forecasting of integer-valued trawl processes
Virtualconference
Authors : Veraart, Almut (Author of the conference)
CIRM (Publisher )
37M10 - Time series analysis
60G10 - Stationary processes
60G55 - Point processes
62F99 - None of the above but in this section
62M10 - Time series, auto-correlation, regression, etc.
62P05 - Applications to actuarial sciences and financial mathematics
Additional resources :
https://www.cirm-math.fr/RepOrga/2233/Slides/Veraart_TrawlTalk_Sep2020.pdf
CIRM (Publisher )
Loading the player...
|
Abstract :
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).
MSC Codes : 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).
37M10 - Time series analysis
60G10 - Stationary processes
60G55 - Point processes
62F99 - None of the above but in this section
62M10 - Time series, auto-correlation, regression, etc.
62P05 - Applications to actuarial sciences and financial mathematics
Additional resources :
https://www.cirm-math.fr/RepOrga/2233/Slides/Veraart_TrawlTalk_Sep2020.pdf
|
Information on the Video
Film maker : Hennenfent, GuillaumeLanguage : English Available date : 09/10/2020 Conference Date : 17/09/2020 Subseries : Research talks arXiv category : Statistics Theory Mathematical Area(s) : Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 00:41:35 Targeted Audience : Researchers Download : https://videos.cirm-math.fr/2020-09-17_Veraart.mp4 
|
Information on the Event
Event Title : New Results on Time Series and their Statistical Applications / Séries chronologiques: nouveaux résultats et applications statistiquesEvent Organizers : Bardet, Jean-Marc ; Eckley, Idris ; Fokianos, Konstantinos ; Neumann, Michael H. ; Philippe, Anne Dates : 14/09/2020 - 19/09/2020 Event Year : 2020 Event URL : https://conferences.cirm-math.fr/2233.html
Citation Data
DOI : 10.24350/CIRM.V.19655203Cite this video as: Veraart, Almut (2020). Likelihood-based estimation, model selection, and forecasting of integer-valued trawl processes. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19655203 URI : http://dx.doi.org/10.24350/CIRM.V.19655203 |
See Also
- [Multi angle] Testing the existence of moments for GARCH-type processes / Author of the conference Zakoïan, Jean-Michel.
- [Virtualconference] Reconciling the Gaussian and Whittle Likelihood with an application to estimation in the frequency domain / Author of the conference Subba Rao, Suhasini.
- [Multi angle] Detecting seasonality changes in multivariate extremes from climatological time series / Author of the conference Naveau, Philippe.
- [Virtualconference] Modeling of time series using random forests: theoretical developments / Author of the conference Davis, Richard.
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. -
