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Estimation, filtering and smoothing in the stochastic conditional duration model: an estimating function approach

  • Published:2016 Issue:1 Volume:5 Page:11-21
  • ISSN:2049-1573
  • Container-title:Stat
  • language:en
  • Short-container-title:STAT

Author:

Thekke Ramanathan1,Mishra Anuj1,Abraham Bovas2

Affiliation:

1. Department of Statistics and Centre for Advanced Studies; Savitribai Phule Pune University; Pune 411 007 India

2. Waterloo Research Institute in Insurance, Securities and Quantitative Finance; University of Waterloo; Waterloo N2L 3G1 Ontario Canada

Funder

Science and Engineering Research Board

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference16 articles.

1. Efficient important sampling for ML estimation of SCD models;Bauwens;Computational Statistics and Data Analysis,2009

2. The stochastic conditional duration model: a latent variable model for the analysis of financial durations;Bauwens;Journal of Econometrics,2004

3. Optimal estimating function for non-orthogonal model;Durairajan;Journal of Statistical Planning and Inference,1992

4. Autoregressive conditional duration: a new approach for irregularly spaced transaction data;Engle;Journal of Econometrics,1998

5. Stochastic conditional duration models with leverage effect for financial transaction data;Feng;Journal of Financial Econometrics,2004

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