On estimation of autoregressive conditional duration (ACD) models based on different error distributions

• Main Authors: Pathmanathan, D., Ng, K.H., Peiris, S.
• Format: Conference or Workshop Item
• Language: English
• Published: 2010
• Subjects: AC Collections. Series. Collected works
• Online Access: http://eprints.um.edu.my/11137/1/On_Estimation_of_Autoregressive.pdf; http://eprints.um.edu.my/11137/
• Institution: Universiti Malaya

Autoregressive Conditional Duration (ACD) models playa central role in modelling high frequency financial data. The Maximum Likelihood (ML) and Quasi Maximum Likelihood (QML) methods are widely used in parameter estimation. This paper considers a semi parametric approach based on the theory of Esti...