Nonlinear Least Squares Estimation of Log-ACD Models

doi:10.1007/s10255-018-0766-6

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	Nonlinear Least Squares Estimation of Log-ACD Models
	Chen, Zhao 1; Liu, Wei 2; Wang, Christina Dan 3; Wu, Wu-qing 4; Wu, Yao-hua 5
	2018-07-01
发表期刊	ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
ISSN	0168-9673
卷号	34 期号:3 页码:516-533
摘要	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.
关键词	Log-ACD model nonlinear least squares estimation Log-GARCH model heavy-tail
DOI	10.1007/s10255-018-0766-6
语种	英语
资助项目	National Natural Science Foundation of China[11690014] ; National Natural Science Foundation of China[11690015] ; National Natural Science Foundation of China[10871188] ; Renmin University of China[16XNB025] ; Social Science Foundation of Beijing[17GLB022]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000441231700006
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/30849
专题	中国科学院数学与系统科学研究院
通讯作者	Wu, Wu-qing
作者单位	1.Fudan Univ, Sch Data Sci, Shanghai 200433, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.New York Univ Shanghai, Shanghai 200122, Peoples R China 4.Renmin Univ China, Sch Business, Beijing 100872, Peoples R China 5.Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Anhui, Peoples R China
推荐引用方式 GB/T 7714	Chen, Zhao,Liu, Wei,Wang, Christina Dan,et al. Nonlinear Least Squares Estimation of Log-ACD Models[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2018,34(3):516-533.
APA	Chen, Zhao,Liu, Wei,Wang, Christina Dan,Wu, Wu-qing,&Wu, Yao-hua.(2018).Nonlinear Least Squares Estimation of Log-ACD Models.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,34(3),516-533.
MLA	Chen, Zhao,et al."Nonlinear Least Squares Estimation of Log-ACD Models".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 34.3(2018):516-533.