Tail behavior of ACD models and consequences for likelihood-based estimation

Author:

Cavaliere Giuseppe,Mikosch Thomas,Rahbek Anders,Vilandt Frederik

Funder

Danmarks Frie Forskningsfond

Ministero dell'Istruzione dell'Universita e della Ricerca

Ministero dell’Istruzione, dell’Università e della Ricerca

Independent Research Fund Denmark

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

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4. Regular Variation;Bingham,1987

5. Realized semicovariances;Bollerslev;Econometrica,2020

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