nonlinearleastsquaresestimationoflogacdmodels

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	nonlinearleastsquaresestimationoflogacdmodels
	Chen Zhao 1; Liu Wei 2; Wang Christina Dan 3; Wu Wuqing 4; Wu Yaohua 5
	2018
发表期刊	actamathematicaeapplicataesinica
ISSN	0168-9673
卷号	034 期号:003 页码:516
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.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/45224
专题	中国科学院数学与系统科学研究院
作者单位	1.School of Data Science,Fudan University 2.中国科学院数学与系统科学研究院 3.上海纽约大学 4.School of Business,Renmin University of China 5.Department of Statistics and Finance,University of Science and Technology of China
推荐引用方式 GB/T 7714	Chen Zhao,Liu Wei,Wang Christina Dan,et al. nonlinearleastsquaresestimationoflogacdmodels[J]. actamathematicaeapplicataesinica,2018,034(003):516.
APA	Chen Zhao,Liu Wei,Wang Christina Dan,Wu Wuqing,&Wu Yaohua.(2018).nonlinearleastsquaresestimationoflogacdmodels.actamathematicaeapplicataesinica,034(003),516.
MLA	Chen Zhao,et al."nonlinearleastsquaresestimationoflogacdmodels".actamathematicaeapplicataesinica 034.003(2018):516.