Estimation of the stochastic conditional duration model via alternative methods

DOI10.1111/j.1368-423X.2008.00250.xzbMath1154.62026MaRDI QIDQ3548526

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Publication date: 15 December 2008

Published in: Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

empirical characteristic functiondurationirregularly spaced datalatent variable model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Related Items (4)

Unnamed Item ⋮ Time-Deformation Modeling of Stock Returns Directed by Duration Processes ⋮ Goodness-of-fit tests in conditional duration models ⋮ Bayesian inference of asymmetric stochastic conditional duration models

Cites Work

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• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• On Estimation of a Probability Density Function and Mode
• Estimation of affine asset pricing models using the empirical characteristic function

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