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Frederik Vilandt

University of Copenhagen (per OpenAlex) · ORCID · OpenAlex

5 papers in scope · 2 published · 3 on the econ.EM arXiv · 5 citations · h-index 1 (over the papers listed here)

Papers

(3 of 5)

Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations
working paper2025 · arXiv
with Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek
Paper profile arXiv arXiv:2505.06190
A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”
published2025 · Econometrica · 1 citations
with Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek
Econometrica
Tail behavior of ACD models and consequences for likelihood-based estimation
published2023 · Journal of Econometrics · 4 citations
with Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek
Journal of Econometrics
Asymptotics for the Generalized Autoregressive Conditional Duration Model
working paper2023 · arXiv
with Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek
Paper profile arXiv arXiv:2307.01779
The Econometrics of Financial Duration Modeling
working paper2022 · arXiv
with Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek
Paper profile arXiv arXiv:2208.02098

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.