Least absolute deviation estimation of autoregressive conditional duration model
DOI10.1007/S10255-011-0059-9zbMATH Open1209.62204OpenAlexW2022852440MaRDI QIDQ2431048FDOQ2431048
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
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Cites Work
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- A family of autoregressive conditional duration models
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- Least absolute deviations estimation for ARCH and GARCH models
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- M-estimation for autoregression with infinite variance
- Least absolute deviation estimation for regression with ARMA errors
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Title not available (Why is that?)
Cited In (8)
- Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model
- A moment closed form estimator for the 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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