Modeling financial durations using penalized estimating functions

DOI10.1016/j.csda.2018.08.020zbMath1471.62232OpenAlexW2890824534WikidataQ129287695 ScholiaQ129287695MaRDI QIDQ1615270

Yaohua Zhang, Jian Zou, A. Thavaneswaran, Ravishanker, Nalini

Publication date: 2 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2018.08.020

zbMATH Keywords

high-frequency dataGodambe informationinter-event durationslog ACD modelsonline recursionspenalized estimating function

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Editorial for the special issue on high-dimensional and functional data analysis ⋮ Review of statistical approaches for modeling high-frequency trading data

Uses Software

• FinTS

Cites Work

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