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Nonlinear Least Squares Estimation of Log-ACD Models

文献类型：期刊论文

作者Chen, Zhao1; Liu, Wei2; Wang, Christina Dan3; Wu, Wu-qing4; Wu, Yao-hua5
刊名ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
出版日期2018-07-01
卷号34期号:3页码:516-533
关键词Log-ACD model nonlinear least squares estimation Log-GARCH model heavy-tail
ISSN号0168-9673
DOI10.1007/s10255-018-0766-6
英文摘要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.
资助项目National Natural Science Foundation of China[11690014] ; National Natural Science Foundation of China[11690015] ; National Natural Science Foundation of China[10871188] ; Renmin University of China[16XNB025] ; Social Science Foundation of Beijing[17GLB022]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000441231700006
出版者SPRINGER HEIDELBERG
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/30848]  
专题中国科学院数学与系统科学研究院
通讯作者Wu, Wu-qing
作者单位1.Fudan Univ, Sch Data Sci, Shanghai 200433, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
3.New York Univ Shanghai, Shanghai 200122, Peoples R China
4.Renmin Univ China, Sch Business, Beijing 100872, Peoples R China
5.Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Anhui, Peoples R China
推荐引用方式
GB/T 7714		 Chen, Zhao,Liu, Wei,Wang, Christina Dan,et al. Nonlinear Least Squares Estimation of Log-ACD Models[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2018,34(3):516-533.
APA Chen, Zhao,Liu, Wei,Wang, Christina Dan,Wu, Wu-qing,&Wu, Yao-hua.(2018).Nonlinear Least Squares Estimation of Log-ACD Models.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,34(3),516-533.
MLA Chen, Zhao,et al."Nonlinear Least Squares Estimation of Log-ACD Models".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 34.3(2018):516-533.

入库方式： OAI收割

来源：数学与系统科学研究院

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