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econ.EM2026
Bootstrapping autoregressive duration models
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
This paper develops bootstrap methods for likelihood-based inference in autoregressive conditional duration (ACD) models, where the sample size is endogenously determined by durati…
econ.EM2026
Global factors for local shocks in a data-scarce environment: with an application to regional fiscal multipliers in Italy
Giuseppe Cavaliere, Luca Fanelli, Marco Mazzali
We propose a novel econometric methodology for Structural Vector Autoregressions with external instruments (`proxy-SVARs' or `SVAR-IVs') in panel data characterized by strong cross…