Minimum distance estimation of long-memory stochastic duration models

DOI10.1080/03610926.2025.2450778MaRDI QIDQ6938280zbMATH OpenFDO

Authors Mauricio Zevallos

Publication date 25 August 2025

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/03610926.2025.2450778

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

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• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Estimation of GARCH models from the autocorrelations of the squares of a process
• Fractional differencing
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks
• Modeling and forecasting persistent financial durations
• On the asymptotic distribution of sample autocovariance differences of long-memory processes
• Review of statistical approaches for modeling high-frequency trading data
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations

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