Self-weighted quantile estimation of autoregressive conditional duration model

DOI10.1007/s42952-021-00121-9zbMath1485.62131OpenAlexW3154395223MaRDI QIDQ2126020

Xiaochen Wang, Yu Ping Song

Publication date: 14 April 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-021-00121-9

zbMATH Keywords

market liquidityhigh frequency financial dataACD modelself-weighted quantile regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

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• Limiting distributions for \(L_1\) regression estimators under general conditions
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• Weighted quantile regression for AR model with infinite variance errors
• Regression Quantiles
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

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