Generalized duration models and optimal estimation using estimating functions

DOI10.1007/s10463-013-0442-9zbMath1331.62106OpenAlexW2106285054MaRDI QIDQ2255169

A. Thavaneswaran, You Liang, Ravishanker, Nalini

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

zbMATH Keywords

random coefficientsACD modelsrecursive estimatescombined estimating functionsgeneralized martingale differencesquadratic log-SCD models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (7)

Modeling financial durations using penalized estimating functions ⋮ Generalized value at risk forecasting ⋮ Zero-modified count time series with Markovian intensities ⋮ Review of statistical approaches for modeling high-frequency trading data ⋮ Estimating functions for circular time series models ⋮ Unnamed Item ⋮ Structural break detection in financial durations

Cites Work

• A family of autoregressive conditional duration models
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• Joint estimation using quadratic estimating function
• Nonlinear recursive estimation of volatility via estimating functions
• Combining estimating functions for volatility
• Using empirical partially Bayes inference for increased efficiency
• Prediction via estimating functions
• Quasi-maximum likelihood estimation of stochastic volatility models
• Inference for random coefficient volatility models
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Transform martingale estimating functions
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Filtering and Smoothing Via Estimating Functions

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