Bayesian estimation and inference for log-ACD models

DOI10.1007/S00180-015-0576-8MaRDI QIDQ736572zbMATH OpenOpenAlexFDO

Authors Edward M. H. Lin, Richard Gerlach, Shelton Peiris

Publication date 4 August 2016

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-015-0576-8

zbMATH Keywords

auto-regressive conditional durationBayesianfinancial tradingskewed Student-\(t\)Weibull

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Bayesian analysis of the stochastic conditional duration model
• Bayesian inference of asymmetric stochastic conditional duration models
• Nonlinear least squares estimation of Log-ACD models
• Generalized duration models and optimal estimation using estimating functions
• An M-estimation of ACD model

Cites work

• A family of autoregressive conditional duration models
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Autoregressive Conditional Density Estimation
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Bayesian analysis of the stochastic conditional duration model
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• Generalized autoregressive conditional heteroscedasticity
• Nonparametric regression using Bayesian variable selection
• On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Volatility forecasting using threshold heteroskedastic models of the intra-day range

Cited in

(8)

• Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
• Nonlinear least squares estimation of Log-ACD models
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market
• Forecasting trade durations via ACD models with mixture distributions
• Bayesian inference of asymmetric stochastic conditional duration models
• An M-estimation of ACD model
• Bayesian analysis of the stochastic conditional duration model

Describes a project that uses

Uses Software

• CAViaR

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