Focal Interest
Focal Interest

Estimator

  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. Dynamic likelihood estimation can improve hazard rate fitting
    Semiparametric method for hazard rate estimation combining parametric efficiency with nonparametric flexibility through dynamic local likelihood smoothing
  3. RNN-based distortion models improved CAT bond pricing
    Catastrophe bond pricing framework combining distortion operator theory with recurrent neural networks, capturing discontinuous repricing and tail-risk compensation.
  4. 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.