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On estimation of autoregressive conditional duration (ACD) models based on different error distributions

Autoregressive Conditional Duration (ACD) models playa central role in modelling high frequency financial data. The Maximum Likelihood (ML) and Quasi Maximum Likelihood (QML) methods are widely used in parameter estimation. This paper considers a semi parametric approach based on the theory of Esti...

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書誌詳細
主要な著者:	Pathmanathan, D., Ng, K.H., Peiris, S.
フォーマット:	Conference or Workshop Item
言語:	English
出版事項:	2010
主題:	AC Collections. Series. Collected works
オンライン･アクセス:	http://eprints.um.edu.my/11137/1/On_Estimation_of_Autoregressive.pdf http://eprints.um.edu.my/11137/
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