Tail behavior of ACD models and consequences for likelihood-based estimation (Q6193064)
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scientific article; zbMATH DE number 7803962
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail behavior of ACD models and consequences for likelihood-based estimation |
scientific article; zbMATH DE number 7803962 |
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Tail behavior of ACD models and consequences for likelihood-based estimation (English)
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13 February 2024
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financial durations
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autoregressive conditional duration (ACD)
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tail index
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quasi maximum likelihood
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mixed normality
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