Additive Outlier Detection and Estimation for the Logarithmic Autoregressive Conditional Duration Model

DOI10.1080/03610918.2011.586481zbMath1296.62202OpenAlexW2053168282MaRDI QIDQ4906413

Min-Hsien Chiang, Li-Min Wang

Publication date: 11 February 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.586481

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Diagnostics, and linear inference and regression (62J20)

Related Items (3)

A generalized least squares estimation method for the autoregressive conditional duration model ⋮ M-estimates for the multiplicative error model ⋮ Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data

Cites Work

• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• Robust estimates for GARCH models
• Outliers and GARCH models in financial data
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Non‐monotonic hazard functions and the autoregressive conditional duration model

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