2 papers
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.EM2025
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…