Generalized duration models and optimal estimation using estimating functions
DOI10.1007/S10463-013-0442-9zbMATH Open1331.62106OpenAlexW2106285054MaRDI QIDQ2255169FDOQ2255169
Authors: A. Thavaneswaran, You Liang, Nalini Ravishanker 
Publication date: 6 February 2015
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-013-0442-9
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Cites Work
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- A family of autoregressive conditional duration models
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- Quasi-maximum likelihood estimation of stochastic volatility models
- Inference for random coefficient volatility models
- Prediction via estimating functions
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- Using empirical partially Bayes inference for increased efficiency
- Transform martingale estimating functions
- Filtering and Smoothing Via Estimating Functions
- Joint estimation using quadratic estimating function
- Nonlinear recursive estimation of volatility via estimating functions
- Combining estimating functions for volatility
Cited In (13)
- Modeling financial durations using penalized estimating functions
- Title not available (Why is that?)
- Estimation of the stochastic conditional duration model via alternative methods
- Generalized value at risk forecasting
- Structural break detection in financial durations
- Parameter estimates and bootstrap confidence intervals of exponential family ACD models
- Zero-modified count time series with Markovian intensities
- Joint estimation using quadratic estimating function
- Functional estimation in duration models: Orthogonal functions method
- Review of statistical approaches for modeling high-frequency trading data
- Estimation, filtering and smoothing in the stochastic conditional duration model: an estimating function approach
- Stochastic volatility generated by product autoregressive models
- Estimating functions for circular time series models
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