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D Straumann (2005)
Estimation in Conditionally Heteroscedastic Time Series Models, Lecture Notes in Statistics
D. Allen, F. Chan, M. McAleer, S. Peiris (2007)
Asymptotic and Finite Sample Properties of the QMLE for the Log-ACD Model: Application to Australian Stocks*
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The Moments of Log-Acd ModelsCapital Markets: Market Microstructure
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L Bauwens, F Galli, P Giot (2003)
The Moments of Log-ACD Models, CORE Discussion Paper
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.
Acta Mathematicae Applicatae Sinica – Springer Journals
Published: Aug 9, 2018
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