LAD-based inference for threshold ACD models with heavy tails

MaRDI QIDQ6972137zbMATH OpenFDO

Authors Ke-Ang Fu, Hongyu Qian, Yingyu Chen

Publication date 12 June 2025

Published in Applied Mathematics. Series A (Chinese Edition) (Search for Journal in Brave)

Full work available at URL http://www.amjcu.zju.edu.cn/amjcua/2020-2029/202502/145-158.pdf

zbMATH Keywords

asymptotic normalityprice durationautoregressive conditional durationleast absolute deviation estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12)

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