4 papers
Bootstrap Diagnostic Tests
Giuseppe Cavaliere, Luca Fanelli, Iliyan Georgiev
Violation of the assumptions underlying classical (Gaussian) limit theory often yields unreliable statistical inference. This paper shows that the bootstrap can detect such violati…
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…
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…
Time-Varying Poisson Autoregression
Giovanni Angelini, Giuseppe Cavaliere, Enzo D'Innocenzo +1
In this paper we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegressive with eXogenous covariates (TV-PARX), suited to model and forecast time ser…