Seminar
On bootstrapping and autoregressive duration (ACD) models
Anders Rahbek (University of Copenhagen)
- Date10 November 2026
- Time 15h30 - 16h50
- Room Auditorium 4
Résumé
The seminar will address bootstrap methods for likelihood-based inference in autoregressive conditional duration (ACD) models, where the sample size is endogenously determined by durations observed over a fixed time span. This feature - the random sample size - fundamentally shapes the asymptotic framework, particularly so when the durations do not have finite expectation. Building on recent limit theory for heavy-tailed and integrated ACD processes, we analyze recursive bootstrap schemes that either fix the time span (yielding a random sample size) or fix the number of durations (yielding a random time span). We establish a bootstrap theory for ACD models that links naturally to renewal theory with random sample sizes. For the fixedcount bootstrap, we prove first-order validity in the finite-mean and boundary cases and characterize the random limiting bootstrap distribution in the infinite-mean case. Although classical bootstrap consistency can fail when the durations have infinite expectation, we argue that the bootstrap remains valid and yields asymptotically normal t-statistics. Monte Carlo evidence shows that the proposed methods have good finite-sample properties in both finite- and infinite-mean settings, and are robust to distributional misspecification relative to the exponential likelihood. We conclude with an empirical application to cryptocurrency ETFs. (Joint with Giuseppe Cavaliere, Frederik Vilandt)
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