Inference and forecasting for continuous-time integervalued trawl processes and their use in financial economics
Mikkel Bennedsen, Asger Lunde, Neil Shephard and Almut E. D. Veraart
| Year of publication: |
[2021]
|
|---|---|
| Authors: | Bennedsen, Mikkel ; Lunde, Asger ; Shephard, Neil G. ; Veraart, Almut E. D. |
| Publisher: |
Aarhus, Denmark : Department of Economics and Business Economics, Aarhus University |
| Subject: | Integer valued trawl process | Lévy basis | composite likelihood | pairwise likelihood; estimation | model selection | forecasting | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
freely available
| Extent: | 1 Online-Ressource (circa 81 Seiten) Illustrationen |
|---|---|
| Series: | CREATES research paper. - Aarhus : [Verlag nicht ermittelbar], ZDB-ID 2490360-7. - Vol. 2021, 12 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012621491