KMS Of Academy of mathematics and systems sciences, CAS
| nonlinearleastsquaresestimationoflogacdmodels | |
| Chen Zhao1; Liu Wei2; Wang Christina Dan3; Wu Wuqing4; Wu Yaohua5 | |
| 2018-01-01 | |
| Source Publication | actamathematicaeapplicataesinica
 |
| ISSN | 0168-9673 |
| Volume | 034Issue:003Pages:516 |
| Abstract | 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. |
| Language | 英语 |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/45224 |
| Collection | 中国科学院数学与系统科学研究院 |
| Affiliation | 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 |
| Recommended Citation 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. |
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