Least absolute deviation estimation of autoregressive conditional duration model
文献类型：期刊论文
| 作者 | Liu, Wei1,3; Wang, Hui-min2; Chen, Min1
|
| 刊名 | ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
 |
| 出版日期 | 2011-04-01 |
| 卷号 | 27期号:2页码:243-254 |
| 关键词 | least absolute deviation estimation ACD model heavy tail |
| ISSN号 | 0168-9673 |
| DOI | 10.1007/s10255-011-0059-9 |
| 英文摘要 | 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. |
| 资助项目 | National Natural Science Foundation of China[70221001] ; National Natural Science Foundation of China[70331001] ; National Natural Science Foundation of China[10628104] ; National Natural Science Foundation of China[10721101] ; National Basic Research Program of China (973Program)[2007CB814902] ; Major State Basic Research Development Program of China (973 Program)[2007CB14902] ; National High Technology Research and Development Program of China (863 Program)[2007AA12Z04] ; Ministry of Water Resources of the People's Republic of China[200801027] ; Key Laboratory of Random Complex Structures and Data Science, Academy of Mathematics & Systems Science, Chinese Academy of Sciences[2008DP173182] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000288251100006 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/11961]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Liu, Wei |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Hohai Univ, Sch Business, Nanjing 210098, Peoples R China 3.Informat Management Ctr China Minsheng Banking Co, Beijing 100873, Peoples R China |
| 推荐引用方式 GB/T 7714 | Liu, Wei,Wang, Hui-min,Chen, Min. Least absolute deviation estimation of autoregressive conditional duration model[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2011,27(2):243-254. |
| APA | Liu, Wei,Wang, Hui-min,&Chen, Min.(2011).Least absolute deviation estimation of autoregressive conditional duration model.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,27(2),243-254. |
| MLA | Liu, Wei,et al."Least absolute deviation estimation of autoregressive conditional duration model".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 27.2(2011):243-254. |
入库方式： OAI收割
来源：数学与系统科学研究院
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