Nonlinear least squares estimation of Log-ACD models

DOI10.1007/S10255-018-0766-6MaRDI QIDQ1782029zbMATH OpenOpenAlexWikidataFDO

Authors Zhao Chen, Christina Dan Wang, Wuqing Wu, Yaohua Wu, Wei Liu

Publication date 18 September 2018

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-018-0766-6

zbMATH Keywords

heavy-tailnonlinear least squares estimationLog-ACD modelLog-GARCH model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Econometric modelling of stock market intraday activity.
• Estimation in conditionally heteroscedatic time series models.
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks

Cited in

(6)

• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• A generalized least squares estimation method for the autoregressive conditional duration model
• Bayesian estimation and inference for log-ACD models
• Parameter estimates and bootstrap confidence intervals of exponential family ACD models
• An M-estimation of ACD model
• Least absolute deviation estimation of autoregressive conditional duration model

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