The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics

This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates.

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Year of publication:	2013
Authors:	Allen, David ; Ng, K.H. ; Peiris, Shelton
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 120.2013, 1, p. 117-122
Publisher:	Elsevier
Subject:	Conditional duration \| High frequency data \| Estimating functions \| Maximum likelihood

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Type of publication:	Article
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C41 - Duration Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010665682