Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
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Cites work
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- A family of autoregressive conditional duration models
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Continuous Auctions and Insider Trading
- GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
- Generalized autoregressive conditional heteroscedasticity
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- The Econometrics of Ultra-high-frequency Data
- Threshold Autoregression with a Unit Root
- Threshold models in non-linear time series analysis
Cited in
(22)- Forecasting trade durations via ACD models with mixture distributions
- Bootstrap based probability forecasting in multiplicative error models
- A generalized least squares estimation method for the autoregressive conditional duration model
- Intraday trade and quote dynamics: A Cox regression analysis
- On the interday homogeneity in the intraday rate of trading
- A family of autoregressive conditional duration models applied to financial data
- Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
- Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model
- Bayesian estimation and inference for log-ACD models
- Modeling financial durations using penalized estimating functions
- Testing weak exogeneity in multiplicative error models
- GARCH models without positivity constraints: exponential or log GARCH?
- Liquidity and volatility in the U.S. Treasury market
- Semiparametric autoregressive conditional duration model: theory and practice
- Intensity-based estimation of extreme loss event probability and value at risk
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
- Fitting a two phase threshold multiplicative error model
- The Birnbaum-Saunders autoregressive conditional duration model
- Nonlinear least squares estimation of Log-ACD models
- The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics
- Generalized duration models and optimal estimation using estimating functions
- Tail behavior of ACD models and consequences for likelihood-based estimation
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