Modeling financial durations using penalized estimating functions
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Cites work
- scientific article; zbMATH DE number 1714595 (Why is no real title available?)
- scientific article; zbMATH DE number 3163319 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A family of autoregressive conditional duration models applied to financial data
- A note on mis-specified estimating functions
- An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds
- An Optimum Property of Regular Maximum Likelihood Estimation
- Analysis of Financial Time Series
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Continuous Auctions and Insider Trading
- Durations, volume and the prediction of financial returns in transaction time
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- Generalized duration models and optimal estimation using estimating functions
- Joint estimation using quadratic estimating function
- Modelling Financial High Frequency Data Using Point Processes
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- Penalized generalized estimating equations for high-dimensional longitudinal data analysis
- Subset ARMA selection via the adaptive Lasso
- The Adaptive Lasso and Its Oracle Properties
- The foundations of finite sample estimation in stochastic processes
- Transform martingale estimating functions
- Using empirical partially Bayes inference for increased efficiency
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(6)- The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics
- Editorial for the special issue on high-dimensional and functional data analysis
- Data-driven estimation of diurnal patterns of durations between trades on financial markets
- Structural break detection in financial durations
- Review of statistical approaches for modeling high-frequency trading data
- On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
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