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Inference and forecasting for continuous-time integer-valued trawl processes
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - In: Journal of econometrics 236 (2023) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10014365470
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A latent trawl process model for extreme values
Noven, Ragnhild C.; Veraart, Almut E. D.; Gandy, Axel - In: The journal of energy markets 11 (2018) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10012001918
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Inference and forecasting for continuous-time integervalued trawl processes and their use in financial economics
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - 2021
Persistent link: https://www.econbiz.de/10012621491