Integer-Valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes

29 Pages Posted: 26 Feb 2013

See all articles by Ole E. Barndorff-Nielsen

Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences

Asger Lunde

Aarhus University - School of Economics and Management; CREATES

Neil Shephard

Harvard University

Almut Veraart

Imperial College London; CREATES

Date Written: February 11, 2013

Abstract

This paper introduces a new continuous-time framework for modelling serially correlated count and integer-valued data. The key component in our new model is the class of integer-valued trawl (IVT) processes, which are serially correlated, stationary, infinitely divisible processes. We analyse the probabilistic properties of such processes in detail and, in addition, study volatility modulation and multivariate extensions within the new modelling framework. Moreover, we illustrate in a simulation study how our new models can be estimated.

Keywords: Lévy bases, trawl processes, stationarity, stochastic volatility, meta-time change

JEL Classification: C22, C51, C60

Suggested Citation

Barndorff-Nielsen, Ole E. and Lunde, Asger and Shephard, Neil and Veraart, Almut, Integer-Valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes (February 11, 2013). Available at SSRN: https://ssrn.com/abstract=2214832 or http://dx.doi.org/10.2139/ssrn.2214832

Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences ( email )

Ny Munkegade
Aarhus, DK 8000
Denmark

Asger Lunde

Aarhus University - School of Economics and Management ( email )

Aarhus
Denmark

CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

Neil Shephard

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

Almut Veraart (Contact Author)

Imperial College London ( email )

Department of Mathematics
180 Queen's Gate
London, SW7 2AZ

CREATES ( email )

Aarhus University
DK-8000 Aarhus C
Denmark

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