Ontology type: schema:ScholarlyArticle
2018-07
AUTHORSZhao Chen, Wei Liu, Christina Dan Wang, Wu-qing Wu, Yao-hua Wu
ABSTRACTThis 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... »
PAGES516-533
http://scigraph.springernature.com/pub.10.1007/s10255-018-0766-6
DOIhttp://dx.doi.org/10.1007/s10255-018-0766-6
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