5 papers
Smooth Threshold GARCH: Quasi Maximum Likelihood Estimation and Empirical Evidence
Jonas Fiedler Frederiksen, Frederik Vilandt
It is well established that the volatility of daily stock returns responds asymmetrically to news, as described by the news impact curve (NIC), which relates volatility to the prev…
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…
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…
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…