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08/30/2023
Likelihood-based inference and forecasting for trawl processes: a stochastic optimization approach
We consider trawl processes, which are stationary and infinitely divisib...
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07/24/2023
Estimation and Inference for Multivariate Continuous-time Autoregressive Processes
The aim of this paper is to develop estimation and inference methods for...
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03/07/2023
Periodic trawl processes: Simulation, statistical inference and applications in energy markets
This article introduces the class of periodic trawl processes, which are...
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09/13/2022
Nonparametric estimation of trawl processes: Theory and Applications
Trawl processes belong to the class of continuous-time, strictly station...
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08/23/2022
A dynamic extreme value model with applications to volcanic eruption forecasting
Extreme events such as natural and economic disasters leave lasting impa...
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08/18/2022
Simulation methods and error analysis for trawl processes and ambit fields
Trawl processes are continuous-time, stationary and infinitely divisible...
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05/08/2022
A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
This article establishes an asymptotic theory for volatility estimation ...
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07/08/2021
Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics
This paper develops likelihood-based methods for estimation, inference, ...
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06/25/2021
Extreme event propagation using counterfactual theory and vine copulas
Understanding multivariate extreme events play a crucial role in managin...
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11/25/2020
A weak law of large numbers for realised covariation in a Hilbert space setting
This article generalises the concept of realised covariation to Hilbert-...
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08/25/2020
High-frequency Estimation of the Lévy-driven Graph Ornstein-Uhlenbeck process
We consider the Graph Ornstein-Uhlenbeck (GrOU) process observed on a no...
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07/13/2020
Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes
This article studies the finite sample behaviour of a number of estimato...
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05/26/2020
Likelihood theory for the Graph Ornstein-Uhlenbeck process
We consider the problem of modelling restricted interactions between con...
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01/14/2020
Scoring Predictions at Extreme Quantiles
Prediction of quantiles at extreme tails is of interest in numerous appl...
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09/05/2017