FV
Frederik Vilandt
econ.EMq-fin.STmath.STstat.TH
On Valency
published · living versionsW_u4apw4ur·v1 · currentpublished
Smooth Threshold GARCH: Quasi Maximum Likelihood Estimation and Empirical Evidence
with Jonas Fiedler Frederiksen
1 version
Preprints & journals
4 papers in the corpus · 2022–2026Bootstrapping autoregressive duration models2607.28294v2 · Giuseppe Cavaliere, Anders Rahbek, Frederik Vilandt2026 · 0 citationsarXiv
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations2505.06190v1 · Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek et al.2025 · 0 citationsarXiv
Asymptotics for the Generalized Autoregressive Conditional Duration Model2307.01779v1 · Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek et al.2023 · 0 citationsarXiv
The Econometrics of Financial Duration Modeling2208.02098v3 · Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek et al.2022 · 0 citationsarXiv
Career total: 6 works. 4 are in this corpus.
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