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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cites Work

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

Cited In (17)

• The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics
• Modeling financial durations using penalized estimating functions
• A moment closed form estimator for the autoregressive conditional duration model
• Estimation of the stochastic conditional duration model via alternative methods
• A generalized least squares estimation method for the autoregressive conditional duration model
• Generalized value at risk forecasting
• Bayesian estimation and inference for log-ACD models
• 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
• Statistical inference of generalized random coefficient autoregressive model based on combine estimation method
• 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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