1 citations · 1 across the 8 of their papers we have counts for
12 papers
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…
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems
Giuseppe Cavaliere, Adam McCloskey, Rasmus S. Pedersen +1
Limit distributions of likelihood ratio statistics are well-known to be discontinuous in the presence of nuisance parameters at the boundary of the parameter space, which lead to s…
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
Integrated autoregressive conditional duration (ACD) models serve as natural counterparts to the well-known integrated GARCH models used for financial returns. However, despite the…
Asymptotics for the Generalized Autoregressive Conditional Duration Model
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
Engle and Russell (1998, Econometrica, 66:1127--1162) apply results from the GARCH literature to prove consistency and asymptotic normality of the (exponential) QMLE for the genera…
Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary
Heino Bohn Nielsen, Anders Rahbek
We extend the theory from Fan and Li (2001) on penalized likelihood-based estimation and model-selection to statistical and econometric models which allow for non-negativity constr…
High-dimensional cointegration and Kuramoto systems
Jacob Stærk-Østergaard, Anders Rahbek, Susanne Ditlevsen
This paper presents a novel estimator for a non-standard restriction to both symmetry and low rank in the context of high dimensional cointegrated processes. Furthermore, we discus…
The Econometrics of Financial Duration Modeling
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the cla…
The validity of bootstrap testing in the threshold framework
Simone Giannerini, Greta Goracci, Anders Rahbek
We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend t…
MinP Score Tests with an Inequality Constrained Parameter Space
Giuseppe Cavaliere, Zeng-Hua Lu, Anders Rahbek +1
Score tests have the advantage of requiring estimation alone of the model restricted by the null hypothesis, which often is much simpler than models defined under the alternative h…
Specification tests for GARCH processes
Giuseppe Cavaliere, Indeewara Perera, Anders Rahbek
This paper develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space.…
Bootstrap Inference for Hawkes and General Point Processes
Giuseppe Cavaliere, Ye Lu, Anders Rahbek +1
Inference and testing in general point process models such as the Hawkes model is predominantly based on asymptotic approximations for likelihood-based estimators and tests. As an…
Bootstrapping Non-Stationary Stochastic Volatility
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek +1
In this paper we investigate how the bootstrap can be applied to time series regressions when the volatility of the innovations is random and non-stationary. The volatility of many…