Tail behavior of ACD models and consequences for likelihood-based estimation (Q6193064): Difference between revisions

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Revision as of 13:57, 26 August 2024

scientific article; zbMATH DE number 7803962
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Tail behavior of ACD models and consequences for likelihood-based estimation
scientific article; zbMATH DE number 7803962

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    Tail behavior of ACD models and consequences for likelihood-based estimation (English)
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    13 February 2024
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    financial durations
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    autoregressive conditional duration (ACD)
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    tail index
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    quasi maximum likelihood
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    mixed normality
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