Nonlinear Least Squares Estimation of Log-ACD Models

Zhao Chen; Wei Liu; Christina Dan Wang; Wu qing Wu; Yao hua Wu

doi:10.1007/s10255-018-0766-6

Nonlinear Least Squares Estimation of Log-ACD Models

Zhao Chen, Wei Liu, Christina Dan Wang, Wu qing Wu, Yao hua Wu

Statistics

Research output: Contribution to journal › Article

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.

Original language	English (US)
Pages (from-to)	516-533
Number of pages	18
Journal	Acta Mathematicae Applicatae Sinica
Volume	34
Issue number	3
DOIs	https://doi.org/10.1007/s10255-018-0766-6
Publication status	Published - Jul 1 2018

Fingerprint

All Science Journal Classification (ASJC) codes

Applied Mathematics

Cite this

Chen, Z., Liu, W., Wang, C. D., Wu, W. Q., & Wu, Y. H. (2018). Nonlinear Least Squares Estimation of Log-ACD Models. Acta Mathematicae Applicatae Sinica, 34(3), 516-533. https://doi.org/10.1007/s10255-018-0766-6

@article{759c5259bcb34154a344440ff17a96e2,

title = "Nonlinear Least Squares Estimation of Log-ACD Models",

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.",

author = "Zhao Chen and Wei Liu and Wang, {Christina Dan} and Wu, {Wu qing} and Wu, {Yao hua}",

year = "2018",

month = "7",

day = "1",

doi = "10.1007/s10255-018-0766-6",

language = "English (US)",

volume = "34",

pages = "516--533",

journal = "Acta Mathematicae Applicatae Sinica",

issn = "0168-9673",

publisher = "Springer Verlag",

number = "3",

}

TY - JOUR

T1 - Nonlinear Least Squares Estimation of Log-ACD Models

AU - Chen, Zhao

AU - Liu, Wei

AU - Wang, Christina Dan

AU - Wu, Wu qing

AU - Wu, Yao hua

PY - 2018/7/1

Y1 - 2018/7/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85051438521&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85051438521&partnerID=8YFLogxK

U2 - 10.1007/s10255-018-0766-6

DO - 10.1007/s10255-018-0766-6

M3 - Article

AN - SCOPUS:85051438521

VL - 34

SP - 516

EP - 533

JO - Acta Mathematicae Applicatae Sinica

JF - Acta Mathematicae Applicatae Sinica

SN - 0168-9673

IS - 3

ER -

Access to Document

10.1007/s10255-018-0766-6