Estimation, filtering and smoothing in the stochastic conditional duration model: an estimating function approach

DOI10.1002/STA4.101MaRDI QIDQ6539162

Bovas Abraham, Ramanathan Thekke, Anuj Mishra

Publication date: 14 May 2024

Published in: Stat (Search for Journal in Brave)

zbMATH Keywords

quasi-maximum likelihoodestimating functionfiltering and smoothingstochastic conditional duration model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Joint estimation using quadratic estimating function
• Bayesian analysis of the stochastic conditional duration model
• Optimal estimating function for non-orthogonal model
• An extension of quasi-likelihood estimation
• Generalized duration models and optimal estimation using estimating functions
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• A Generalization of the Kalman Filter for Models With State-Dependent Observation Variance
• Filtering and Smoothing Via Estimating Functions
• An Optimum Property of Regular Maximum Likelihood Estimation

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