Estimation of the stochastic conditional duration model via alternative methods
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- scientific article; zbMATH DE number 1222302
Cites work
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- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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- EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
- Estimating mixtures of normal distributions via empirical characteristic function
- Estimation of affine asset pricing models using the empirical characteristic function
- scientific article; zbMATH DE number 3711181 (Why is no real title available?)
- scientific article; zbMATH DE number 1106711 (Why is no real title available?)
- Large Sample Properties of Generalized Method of Moments Estimators
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- On Estimation of a Probability Density Function and Mode
- On Some Fourier Methods for Inference
- Quasi-maximum likelihood estimation of stochastic volatility models
- Stochastic volatility duration models
- The empirical characteristic function and its applications
- The estimation of the parameters of the stable laws
- The integrated squared error estimation of parameters
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
Cited in
(10)- Goodness-of-fit tests in conditional duration models
- Generalized duration models and optimal estimation using estimating functions
- A generalized least squares estimation method for the autoregressive conditional duration model
- Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
- The Effect of Sample Selection and Initial Conditions in Duration Models: Evidence from Experimental Data on Training
- A semiparametric conditional duration model
- Time-deformation modeling of stock returns directed by duration processes
- Bayesian inference of asymmetric stochastic conditional duration models
- Characteristic function of the order statistics of the Student's \(t\) distribution
- Efficient importance sampling for ML estimation of SCD models
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