Least absolute deviation estimation of autoregressive conditional duration model

doi:10.1007/s10255-011-0059-9

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	Least absolute deviation estimation of autoregressive conditional duration model
	Liu, Wei 1,3; Wang, Hui-min 2; Chen, Min1
	2011-04-01
发表期刊	ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
ISSN	0168-9673
卷号	27 期号:2 页码:243-254
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.
关键词	least absolute deviation estimation ACD model heavy tail
DOI	10.1007/s10255-011-0059-9
语种	英语
资助项目	National Natural Science Foundation of China[70221001] ; National Natural Science Foundation of China[70331001] ; National Natural Science Foundation of China[10628104] ; National Natural Science Foundation of China[10721101] ; National Basic Research Program of China (973Program)[2007CB814902] ; Major State Basic Research Development Program of China (973 Program)[2007CB14902] ; National High Technology Research and Development Program of China (863 Program)[2007AA12Z04] ; Ministry of Water Resources of the People's Republic of China[200801027] ; Key Laboratory of Random Complex Structures and Data Science, Academy of Mathematics & Systems Science, Chinese Academy of Sciences[2008DP173182]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000288251100006
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/11962
专题	应用数学研究所
通讯作者	Liu, Wei
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Hohai Univ, Sch Business, Nanjing 210098, Peoples R China 3.Informat Management Ctr China Minsheng Banking Co, Beijing 100873, Peoples R China
推荐引用方式 GB/T 7714	Liu, Wei,Wang, Hui-min,Chen, Min. Least absolute deviation estimation of autoregressive conditional duration model[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2011,27(2):243-254.
APA	Liu, Wei,Wang, Hui-min,&Chen, Min.(2011).Least absolute deviation estimation of autoregressive conditional duration model.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,27(2),243-254.
MLA	Liu, Wei,et al."Least absolute deviation estimation of autoregressive conditional duration model".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 27.2(2011):243-254.