94 citations · 133 across the 33 of their papers we have counts for
6 papers · 1 filter
A weak law of large numbers for realised covariation in a Hilbert space setting
Fred Espen Benth, Dennis Schroers, Almut E. D. Veraart
This article generalises the concept of realised covariation to Hilbert-space-valued stochastic processes. More precisely, based on high-frequency functional data, we construct an…
Limit Theorems for Trawl Processes
Mikko S. Pakkanen, Riccardo Passeggeri, Orimar Sauri +1
In this work we derive limit theorems for trawl processes. First,we study the asymptotic behaviour of the partial sums of the discretized trawl process $(X_{iΔ_{n}})_{i=0}^{\lfloor…
High-frequency Estimation of the Lévy-driven Graph Ornstein-Uhlenbeck process
Valentin Courgeau, Almut E. D. Veraart
We consider the Graph Ornstein-Uhlenbeck (GrOU) process observed on a non-uniform discrete time grid and introduce discretised maximum likelihood estimators with parameters specifi…
Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes
Phillip Murray, Riccardo Passeggeri, Almut E. D. Veraart +1
This article studies the finite sample behaviour of a number of estimators for the integrated power volatility process of a Brownian semistationary process in the non semi-martinga…
Likelihood theory for the Graph Ornstein-Uhlenbeck process
Valentin Courgeau, Almut E. D. Veraart
We consider the problem of modelling restricted interactions between continuously-observed time series as given by a known static graph (or network) structure. For this purpose, we…
Scoring Predictions at Extreme Quantiles
Axel Gandy, Kaushik Jana, Almut E. D. Veraart
Prediction of quantiles at extreme tails is of interest in numerous applications. Extreme value modelling provides various competing predictors for this point prediction problem. A…