Least absolute deviation estimation of autoregressive conditional duration model

被引：0
|
作者：
Liu Wei
Hui-min Wang
Min Chen
机构：
[1] Chinese Academy of Sciences,Academy of Mathematics and Systems Science
[2] Hohai University,Business School
[3] Information Management Center of China Minsheng Banking Corp.,undefined
[4] Ltd.,undefined
来源：
Acta Mathematicae Applicatae Sinica, English Series | 2011年 / 27卷
关键词：
least absolute deviation estimation; ACD model; heavy tail; 62G05;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper studies the least absolute deviation estimation of the high frequency financial autoregressive conditional duration (ACD) model. The asymptotic properties of the estimator are studied given mild regularity conditions. Furthermore, we develop a Wald test statistic for the linear restriction on the parameters. A simulation study is conducted for the finite sample properties of our estimator. Finally, we give an empirical study of financial duration.
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收藏
页码：243 / 254
页数：11
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