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Nonlinear Least Squares Estimation of Log-ACD Models 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2018, 卷号: 34, 期号: 3, 页码: 516-533
Authors:  Chen, Zhao;  Liu, Wei;  Wang, Christina Dan;  Wu, Wu-qing;  Wu, Yao-hua
Favorite  |  View/Download:4/0  |  Submit date:2018/09/08
Log-ACD model  nonlinear least squares estimation  Log-GARCH model  heavy-tail  
Least absolute deviation estimation of autoregressive conditional duration model 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2011, 卷号: 27, 期号: 2, 页码: 243-254
Authors:  Liu, Wei;  Wang, Hui-min;  Chen, Min
Favorite  |  View/Download:7/0  |  Submit date:2018/07/30
least absolute deviation estimation  ACD model  heavy tail  
Precise large deviations for sums of random variables with consistently varying tails 期刊论文
JOURNAL OF APPLIED PROBABILITY, 2004, 卷号: 41, 期号: 1, 页码: 93-107
Authors:  Ng, KW;  Tang, QH;  Yan, JA;  Yang, HL
Favorite  |  View/Download:7/0  |  Submit date:2018/07/30
consistently varying tail  doubly stochastic process  heavy tail  Matuszewska index  negative association  precise large deviations  random sums