A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model

DOI10.1080/07474938.2014.977071zbMath1491.62097OpenAlexW2017838497MaRDI QIDQ5863653

Marcelo C. Medeiros, Marcelo Fernandes, Alvaro Veiga

Publication date: 3 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://qmro.qmul.ac.uk/xmlui/handle/123456789/18085

zbMATH Keywords

neural networksquasi-maximum likelihoodstationaritysmooth transitionsieve estimationexplosive regimes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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