Likelihood-based estimation, model selection, and forecasting of integer-valued trawl processes

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).

invited by Sebastian Reich

***Due to the current pandemic this colloquium will be conducted online. We invite you to join and spread the news. We will send out an invitation for a zoom meeting via our email list. If you are not on the mail list already, please send an email up front to liv.heinecke[at]uni-potsdam.de ***