Tail behavior of ACD models and consequences for likelihood-based estimation

Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek, Frederik Vilandt

Year of publication:	2024
Authors:	Cavaliere, Giuseppe ; Mikosch, Thomas ; Rahbek, Anders ; Vilandt, Frederik
Subject:	Autoregressive conditional duration (ACD) \| Financial durations \| Mixed normality \| Quasi maximum likelihood \| Tail index \| Schätztheorie \| Estimation theory \| Börsenkurs \| Share price \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation \| Dauer \| Duration \| Statistische Verteilung \| Statistical distribution \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| Statistische Bestandsanalyse \| Duration analysis \| Wahrscheinlichkeitsrechnung \| Probability theory

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1016/j.jeconom.2023.105613 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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