Barndorff-Nielsen, Ole E.; Lunde, Asger; Shephard, Neil; … - In: Scandinavian Journal of Statistics 41 (2014) 3, pp. 693-724
type="main" xml:id="sjos12056-abs-0001" <title type="main">ABSTRACT</title>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 processes, which are serially correlated, stationary,...