112 citations · 138 across the 5 of their papers we have counts for
6 papers
Inference and forecasting for continuous-time integer-valued trawl processes
Mikkel Bennedsen, Asger Lunde, Neil Shephard +1
This paper develops likelihood-based methods for estimation, inference, model selection, and forecasting of continuous-time integer-valued trawl processes. The full likelihood of i…
A Multivariate Realized GARCH Model
Ilya Archakov, Peter Reinhard Hansen, Asger Lunde
We propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrizati…
Decoupling the short- and long-term behavior of stochastic volatility
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrela…
The Local Fractional Bootstrap
Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde +1
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample p…
Hybrid scheme for Brownian semistationary processes
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We…
Discretization of Lévy semistationary processes with application to estimation
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
Motivated by the construction of the Itô stochastic integral, we consider a step function method to discretize and simulate volatility modulated Lévy semistationary processes. More…