An M-estimation of ACD model

MaRDI QIDQ5259886zbMATH OpenFDO

Authors

Publication date 29 June 2015

zbMATH Keywords

M-estimationautoregressive conditional durationpseudo-maximum likelihood estimate

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(4)

• The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics
• Bayesian estimation and inference for log-ACD models
• Nonlinear least squares estimation of Log-ACD models
• Least absolute deviation estimation of autoregressive conditional duration model

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