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econ.EM2024★ 4 cited
An unbounded intensity model for point processes
Kim Christensen, Alexei Kolokolov
We develop a model for point processes on the real line, where the intensity can be locally unbounded without inducing an explosion. In contrast to an orderly point process, for wh…
econ.EM2024
To be or not to be: Roughness or long memory in volatility?
Mikkel Bennedsen, Kim Christensen, Peter Christensen
We develop a framework for composite likelihood estimation of parametric continuous-time stationary Gaussian processes. We derive the asymptotic theory of the associated maximum co…