Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
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Publication:299272
DOI10.1016/J.JECONOM.2008.09.020zbMATH Open1429.62649OpenAlexW2034392244MaRDI QIDQ299272FDOQ299272
Authors: Felix T. S. Chan, Michael McAleer, D. E. Allen, Shelton Peiris 
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/34878
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Cites Work
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- Generalized autoregressive conditional heteroscedasticity
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Conditional Heteroskedasticity in Asset Returns: A New Approach
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- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
- The Econometrics of Ultra-high-frequency Data
- A family of autoregressive conditional duration models
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- Continuous Auctions and Insider Trading
- Threshold Autoregression with a Unit Root
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Threshold models in non-linear time series analysis
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- Autoregressive Conditional Density Estimation
Cited In (22)
- Testing weak exogeneity in multiplicative error models
- The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics
- Modeling financial durations using penalized estimating functions
- Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model
- Intraday trade and quote dynamics: A Cox regression analysis
- On the interday homogeneity in the intraday rate of trading
- Bootstrap based probability forecasting in multiplicative error models
- A generalized least squares estimation method for the autoregressive conditional duration model
- Bayesian estimation and inference for log-ACD models
- The Birnbaum-Saunders autoregressive conditional duration model
- Nonlinear least squares estimation of Log-ACD models
- Tail behavior of ACD models and consequences for likelihood-based estimation
- Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
- Intensity-based estimation of extreme loss event probability and value at risk
- A family of autoregressive conditional duration models applied to financial data
- GARCH models without positivity constraints: exponential or log GARCH?
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
- Liquidity and volatility in the U.S. Treasury market
- Fitting a two phase threshold multiplicative error model
- Generalized duration models and optimal estimation using estimating functions
- Semiparametric autoregressive conditional duration model: theory and practice
- Forecasting trade durations via ACD models with mixture distributions
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