La Vecchia, Davide; Moor, Alban; Scaillet, Olivier - 2020
indicators. We characterize the class of parametric and semiparametric estimation problems for which the method is valid. We show … procedure for M-estimator, generalized method of moments, and generalized empirical likelihood estimation. In a Monte Carlo … study, we consider an autoregressive conditional duration model and we compare our method with other extant, routinely …