Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272): Difference between revisions

@@ Property / author @@
-David E. Allen
@@ Property / author: David E. Allen / rank @@
-Normal rank
@@ Property / author @@
-M. Shelton Peiris
@@ Property / author: M. Shelton Peiris / rank @@
-Normal rank
@@ Property / author @@
+David E. Allen
@@ Property / author: David E. Allen / rank @@
+Normal rank
@@ Property / author @@
+M. Shelton Peiris
@@ Property / author: M. Shelton Peiris / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P20
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@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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+conditional duration
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@@ Property / zbMATH Keywords @@
+asymmetry
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@@ Property / zbMATH Keywords @@
+ACD
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@@ Property / zbMATH Keywords @@
+log-ACD
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@@ Property / zbMATH Keywords @@
+Monte Carlo simulation
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+bootstrap
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+Generalized autoregressive conditional heteroscedasticity
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@@ Property / cites work @@
+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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+Threshold Autoregression with a Unit Root
@@ Property / cites work: Threshold Autoregression with a Unit Root / rank @@
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+ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
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+Q4318617
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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 @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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@@ Property / cites work @@
+A family of autoregressive conditional duration models
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+GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
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+Autoregressive Conditional Density Estimation
@@ Property / cites work: Autoregressive Conditional Density Estimation / rank @@
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@@ Property / cites work @@
+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
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@@ Property / cites work @@
+AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Q4084474
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@@ Property / cites work @@
+Threshold models in non-linear time series analysis
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@@ Property / cites work @@
+A nonlinear autoregressive conditional duration model with applications to financial transaction data
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@@ links / mardi / name / links / mardi / name @@
+Publication:299272