Bootstrap inference in autoregressive duration models

Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek and Frederik Vilandt

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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

Date: 2026-07
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2607.28294

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