Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks

DOI10.1016/j.jeconom.2008.09.020zbMath1429.62649OpenAlexW2034392244MaRDI QIDQ299272

Felix T. S. Chan, Michael McAleer, M. Shelton Peiris, David E. Allen

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11937/34878

zbMATH Keywords

asymmetryMonte Carlo simulationACDconditional durationlog-ACD

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (22)

Modeling financial durations using penalized estimating functions ⋮ A family of autoregressive conditional duration models applied to financial data ⋮ A generalized least squares estimation method for the autoregressive conditional duration model ⋮ The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data ⋮ Testing weak exogeneity in multiplicative error models ⋮ Liquidity and volatility in the U.S. Treasury market ⋮ Tail behavior of ACD models and consequences for likelihood-based estimation ⋮ Forecasting trade durations via ACD models with mixture distributions ⋮ The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics ⋮ GARCH models without positivity constraints: exponential or log GARCH? ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ Additive Outlier Detection and Estimation for the Logarithmic Autoregressive Conditional Duration Model ⋮ Fitting a two phase threshold multiplicative error model ⋮ Intensity‐based estimation of extreme loss event probability and value at risk ⋮ Generalized duration models and optimal estimation using estimating functions ⋮ Nonlinear least squares estimation of Log-ACD models ⋮ The Birnbaum-Saunders autoregressive conditional duration model ⋮ Bayesian estimation and inference for log-ACD models ⋮ Intraday trade and quote dynamics: A Cox regression analysis ⋮ On the interday homogeneity in the intraday rate of trading ⋮ Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market ⋮ Semiparametric Autoregressive Conditional Duration Model: Theory and Practice

Uses Software

• bootstrap

Cites Work

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