A moment closed form estimator for the autoregressive conditional duration model

DOI10.1007/S00362-014-0652-0MaRDI QIDQ284183zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Monte Carlo simulationquasi-maximum likelihood estimatorautoregressive conditional duration modelmoment estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Generalization of the Gamma Distribution
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Bathtub and Related Failure Rate Characterizations
• Least absolute deviation estimation of autoregressive conditional duration model
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• The Econometrics of Ultra-high-frequency Data
• Time series: Theory and methods

Cited in

(3)

• A generalized least squares estimation method for the autoregressive conditional duration model
• Some closed form robust moment-based estimators for the MEM(1,1)
• Robust minimum distance estimators for the CARR(1,1) model

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