Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model

DOI10.1080/03610918.2011.586481MaRDI QIDQ4906413zbMATH OpenOpenAlexFDO

Authors Min-Hsien Chiang, Limin Wang

Publication date 11 February 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2011.586481

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• Outliers and GARCH models in financial data
• Robust estimates for GARCH models

Cited in

(4)

• Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
• A generalized least squares estimation method for the autoregressive conditional duration model
• M-estimates for the multiplicative error model
• Outliers and GARCH models in financial data

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