A moment closed form estimator for the autoregressive conditional duration model
DOI10.1007/S00362-014-0652-0zbMATH Open1343.62066OpenAlexW2027472005MaRDI QIDQ284183FDOQ284183
Authors: Wanbo Lu, Rui Ke, Jingwen Liang 
Publication date: 17 May 2016
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-014-0652-0
Recommendations
- Some closed form robust moment-based estimators for the MEM(1,1)
- A generalized least squares estimation method for the autoregressive conditional duration model
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
- Least absolute deviation estimation of autoregressive conditional duration model
- Generalized duration models and optimal estimation using estimating functions
Monte Carlo simulationquasi-maximum likelihood estimatorautoregressive conditional duration modelmoment estimator
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- A Generalization of the Gamma Distribution
- Bathtub and Related Failure Rate Characterizations
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- The Econometrics of Ultra-high-frequency Data
- Time series: Theory and methods
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- On Limit Theorems for Quadratic Functions of Discrete Time Series
- Least absolute deviation estimation of autoregressive conditional duration model
Cited In (3)
This page was built for publication: A moment closed form estimator for the autoregressive conditional duration model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q284183)
