WORKING PAPERS AND ONGOING PROJECTS
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- Bootstrap diagnostic tests (with L. Fanelli and I. Georgiev) [abstract and pdf file]
We show the surprising result that the bootstrap - as a by-product - delivers tests of valid specification that do not induce any pre-testing bias under the null hypothesis.
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- Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations (with T. Mikosch, A. Rahbek and F. Vilandt) [abstract and pdf file]
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This paper is the third episode of our trilogy on asymptotics for the quasi Maximum-Likelihood of the ACD(1,1) model. In previous works (Cavaliere, Mikosh, Vilandt and Rahbek, 2025, J Econometrics, and 2025, Econometrica) we considered stationarity ACD with tail index above or below one. In this paper we solve the "unit root" case of a tail index equal to one, which corresponds to the integrated ACD.
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- Bootstrap inference for generalized ACD models (with T. Mikosch, A. Rahbek and F. Vilandt) [in preparation]
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The paper presents a full bootstrap theory for the generalize Autoregressive Conditional Duration (ACD) models. Despite the fact that these models have been out for 25 years and that are widely used by practitioners, a complete asymptotic theory was not available until recently. Properties of the bootstrap are completely unknown. We provide it here - and we have many surprising results, including the fact that the tail index of the durations is the key player of the theory.
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-Time-varying Poisson Autoregression (with G. Angelini, E. D'Innocenzo and L. De Angelis) [abstract and pdf file]
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Here we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegression with eXogenous covariates (TV-PARX), suited to model and forecast time series of counts. We show that the score-driven framework is particularly suitable to recover the evolution of time-varying parameters and provides the required flexibility to model and forecast time series of counts characterized by convoluted nonlinear dynamics and structural breaks. We study the asymptotic properties of the TV-PARX and of the related MLE. We test the usefulness of the model in practice on COVID-19 data and US corporate defaults.
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