autoregressive conditional duration 1bootstrap inference 1cryptocurrency 1financial econometrics 1time series 1
From the 1 of 2 linked papers with an AI index.
2 papers
econ.EM2026
Bootstrap inference in autoregressive duration models
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
The paper proposes bootstrap methods for inference in autoregressive conditional duration (ACD) models with random sample sizes, showing consistency under different tail-index cond…
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…