Least absolute deviation estimation of autoregressive conditional duration model

DOI10.1007/S10255-011-0059-9MaRDI QIDQ2431048zbMATH OpenOpenAlexFDO

Authors Liu Wei, Min Chen, Huimin Wang

Publication date 8 April 2011

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

Full work available at URL https://doi.org/10.1007/s10255-011-0059-9

zbMATH Keywords

heavy tailleast absolute deviation estimationACD model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1157181 (Why is no real title available?)
• A family of autoregressive conditional duration models
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Least absolute deviation estimation for regression with ARMA errors
• Least absolute deviations estimation for ARCH and GARCH models
• M-estimation for autoregression with infinite variance
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

Cited in

(8)

• A moment closed form estimator for the autoregressive conditional duration model
• Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model
• Self-weighted quantile estimation of autoregressive conditional duration model
• A generalized least squares estimation method for the autoregressive conditional duration model
• Nonlinear least squares estimation of Log-ACD models
• Least absolute deviation estimation for general autoregressive moving average time-series models
• An M-estimation of ACD model
• M-estimates for the multiplicative error model

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