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Bootstrap inference in autoregressive duration models

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  • Giuseppe Cavaliere
  • Thomas Mikosch
  • Anders Rahbek
  • Frederik Vilandt

Abstract

This paper develops bootstrap inference for autoregressive conditional duration (ACD) models observed over a fixed calendar span, so that the number of durations is random. We study recursive schemes that either fix the calendar span or the realized event count. For the fixed-count bootstrap, we establish consistency when the duration tail index satisfies $\kappa\geq1$. When $0

Suggested Citation

  • Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2026. "Bootstrap inference in autoregressive duration models," Papers 2607.28294, arXiv.org.
    • Handle: RePEc:arx:papers:2607.28294
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    File URL: https://arxiv.org/pdf/2607.28294
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