Nonlinear Least Squares Estimation of Log-ACD Models View Full Text


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Article Info

DATE

2018-07

AUTHORS

Zhao Chen, Wei Liu, Christina Dan Wang, Wu-qing Wu, Yao-hua Wu

ABSTRACT

This paper studies a nonlinear least squares estimation method for the logarithmic autoregressive conditional duration (Log-ACD) model. We establish the strong consistency and asymptotic normality for our estimator under weak moment conditions suitable for applications involving heavy-tailed distributions. We also discuss inference for the Log-ACD model and Log-ACD models with exogenous variables. Our results can be easily translated to study Log-GARCH models. Both simulation study and real data analysis are conducted to show the usefulness of our results. More... »

PAGES

516-533

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10255-018-0766-6

DOI

http://dx.doi.org/10.1007/s10255-018-0766-6

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1106058898


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