Tail behavior of ACD models and consequences for likelihood-based estimation
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek, Frederik Vilandt
| Year of publication: |
2024
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|---|---|
| Authors: | Cavaliere, Giuseppe ; Mikosch, Thomas ; Rahbek, Anders ; Vilandt, Frederik |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ZDB-ID 1460617-3. - Vol. 238.2024, 2, Art.-No. 105613, p. 1-14
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| 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 |
| 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 |
Persistent link: https://www.econbiz.de/10015073910