94 citations · 133 across the 33 of their papers we have counts for
3 papers · 1 filter
Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
Yuan Li, Mikko S. Pakkanen, Almut E. D. Veraart
In this article we will introduce the realised semicovariance for Brownian semistationary (BSS) processes, which is obtained from the decomposition of the realised covariance matri…
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…
Extreme event propagation using counterfactual theory and vine copulas
Valentin Courgeau, Almut E. D. Veraart
Understanding multivariate extreme events play a crucial role in managing the risks of complex systems since extremes are governed by their own mechanisms. Conditional on a given v…