Focal Interest
Focal Interest

Asymptotic analysis

  1. Integrated ACD models can imply infinite-mean durations
    Asymptotic theory for integrated autoregressive conditional duration models reveals infinite-mean trading intervals in cryptocurrency ETFs, requiring new inference methods.
  2. Asymptotic theory of range-based multipower variation
    Realized range-based multipower variation theory for jump-robust volatility estimation in sparse high-frequency asset price data with microstructure noise considerations.