Generalized duration models and optimal estimation using estimating functions
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Publication:2255169
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
random coefficientsACD modelsrecursive estimatescombined estimating functionsgeneralized martingale differencesquadratic log-SCD models
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
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- 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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