Browsing by Keyword "Quasi-maximum likelihood"
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A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
2016-08-08In this article, we propose a class of logarithmic autoregressive conditional duration (ACD)-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and asymmetries in financial durations. ... -
A (semi-)parametric functional coefficient autoregressive conditional duration model
2013-12-09In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient ...
