Tail behavior of ACD models and consequences for likelihood-based estimation
From MaRDI portal
Publication:6193064
DOI10.1016/j.jeconom.2023.105613MaRDI QIDQ6193064
Anders Rahbek, Thomas Mikosch, Frederik Vilandt, Giuseppe Cavaliere
Publication date: 13 February 2024
Published in: Journal of Econometrics (Search for Journal in Brave)
tail indexquasi maximum likelihoodmixed normalityautoregressive conditional duration (ACD)financial durations
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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