A moment closed form estimator for the autoregressive conditional duration model

DOI10.1007/s00362-014-0652-0zbMath1343.62066OpenAlexW2027472005MaRDI QIDQ284183

Jingwen Liang, Wanbo Lu, Rui Ke

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 estimatormoment estimatorautoregressive conditional duration model

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

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