Nonlinear least squares estimation of Log-ACD models

DOI10.1007/s10255-018-0766-6zbMath1401.62145OpenAlexW2887366479WikidataQ129384068 ScholiaQ129384068MaRDI QIDQ1782029

Christina Dan Wang, Zhao Chen, Wu-qing Wu, Yao-hua Wu, Wei Liu

Publication date: 18 September 2018

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-018-0766-6

zbMATH Keywords

heavy-tailnonlinear least squares estimationLog-ACD modelLog-GARCH model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Cites Work

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• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• Estimation in conditionally heteroscedatic time series models.
• Econometric modelling of stock market intraday activity.
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• A nonlinear autoregressive conditional duration model with applications to financial transaction data

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