leastabsolutedeviationestimationofautoregressiveconditionaldurationmodel

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	leastabsolutedeviationestimationofautoregressiveconditionaldurationmodel
	Liu Wei 1; Wang Huimin 2; Chen Min1
	2011
发表期刊	actamathematicaeapplicataesinica
ISSN	0168-9673
卷号	027 期号:002 页码:243
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.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/47916
专题	应用数学研究所
作者单位	1.中国科学院数学与系统科学研究院 2.河海大学
推荐引用方式 GB/T 7714	Liu Wei,Wang Huimin,Chen Min. leastabsolutedeviationestimationofautoregressiveconditionaldurationmodel[J]. actamathematicaeapplicataesinica,2011,027(002):243.
APA	Liu Wei,Wang Huimin,&Chen Min.(2011).leastabsolutedeviationestimationofautoregressiveconditionaldurationmodel.actamathematicaeapplicataesinica,027(002),243.
MLA	Liu Wei,et al."leastabsolutedeviationestimationofautoregressiveconditionaldurationmodel".actamathematicaeapplicataesinica 027.002(2011):243.