Nonlinear Least Squares Estimation of Log-ACD Models
Chen, Zhao1; Liu, Wei2; Wang, Christina Dan3; Wu, Wu-qing4; Wu, Yao-hua5
AbstractThis 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.
KeywordLog-ACD model nonlinear least squares estimation Log-GARCH model heavy-tail
Funding ProjectNational 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 Research AreaMathematics
WOS SubjectMathematics, Applied
WOS IDWOS:000441231700006
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Document Type期刊论文
Corresponding AuthorWu, Wu-qing
Affiliation1.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
Recommended Citation
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.
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