Tail behavior of ACD models and consequences for likelihood-based estimation

DOI10.1016/J.JECONOM.2023.105613MaRDI QIDQ6193064zbMATH OpenFDO

Authors Giuseppe Cavaliere, T. Mikosch, Anders Rahbek, Frederik Vilandt

Publication date 13 February 2024

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/J.JECONOM.2023.105613

zbMATH Keywords

autoregressive conditional duration (ACD)financial durationsmixed normalityquasi maximum likelihoodtail index

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(2)

• A comment on: ``Autoregressive conditional duration: a new model for irregularly spaced transaction data
• Beyond the mean: limit theory and tests for infinite-mean autoregressive conditional durations

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