QMLE of a standard exponential ACD model : asymptotic distribution and residual correlation
Chor-Yiu Sin
| Year of publication: |
2014
|
|---|---|
| Authors: | Sin, Chor-yiu |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 9.2014, 2, p. 1-10
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| Subject: | Autoregressive conditional duration (ACD) model | claims in insurance | irregular spaced transaction data | quasi-maximum likelihood estimator (QMLE) | residual auto correlation | standard exponential distribution | Schätztheorie | Estimation theory | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Börsenkurs | Share price | Schätzung | Estimation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010489087