A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model
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Publication:5863653
DOI10.1080/07474938.2014.977071zbMath1491.62097MaRDI QIDQ5863653
Marcelo C. Medeiros, Alvaro Veiga, Marcelo Fernandes
Publication date: 3 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://qmro.qmul.ac.uk/xmlui/handle/123456789/18085
neural networks; quasi-maximum likelihood; stationarity; smooth transition; sieve estimation; explosive regimes
62F12: Asymptotic properties of parametric estimators
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
