A moment closed form estimator for the autoregressive conditional duration model (Q284183): Difference between revisions

@@ Property / DOI @@
-.1007/s00362-014-0652-0
@@ Property / DOI: 10.1007/s00362-014-0652-0 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+F12
@@ Property / Mathematics Subject Classification ID: 62F12 / rank @@
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@@ Property / zbMATH DE Number @@
+6581329
@@ Property / zbMATH DE Number: 6581329 / rank @@
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@@ Property / zbMATH Keywords @@
+autoregressive conditional duration model
@@ Property / zbMATH Keywords: autoregressive conditional duration model / rank @@
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@@ Property / zbMATH Keywords @@
+moment estimator
@@ Property / zbMATH Keywords: moment estimator / rank @@
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@@ Property / zbMATH Keywords @@
+quasi-maximum likelihood estimator
@@ Property / zbMATH Keywords: quasi-maximum likelihood estimator / rank @@
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@@ Property / zbMATH Keywords @@
+Monte Carlo simulation
@@ Property / zbMATH Keywords: Monte Carlo simulation / rank @@
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@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00362-014-0652-0
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@@ Property / OpenAlex ID @@
+W2027472005
@@ Property / OpenAlex ID: W2027472005 / rank @@
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@@ Property / cites work @@
+Time series: Theory and methods
@@ Property / cites work: Time series: Theory and methods / rank @@
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@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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@@ Property / cites work @@
+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
+Normal rank
@@ Property / cites work @@
+Bathtub and Related Failure Rate Characterizations
+Normal rank
@@ Property / cites work @@
+Non‐monotonic hazard functions and the autoregressive conditional duration model
+Normal rank
@@ Property / cites work @@
+On Limit Theorems for Quadratic Functions of Discrete Time Series
+Normal rank
@@ Property / cites work @@
+Least absolute deviation estimation of autoregressive conditional duration model
+Normal rank
@@ Property / cites work @@
+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
+Normal rank
@@ Property / cites work @@
+A Generalization of the Gamma Distribution
@@ Property / cites work: A Generalization of the Gamma Distribution / rank @@
+Normal rank
@@ Property / DOI @@
+.1007/S00362-014-0652-0
@@ Property / DOI: 10.1007/S00362-014-0652-0 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:284183