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Fitting Weibull ACD models to high frequency transactions data : a semi-parametric approach based on estimating functions
Kok Haur Ng; Allen, David E.; Peiris, Shelton - 2009
Persistent link: https://www.econbiz.de/10003869587
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Comparison of alternative ACD models via density and interval forecasts : evidence from the Australian stock market
Allen, David E.; Lazarov, Zdravetz N.; McAleer, Michael; … - 2007
Persistent link: https://www.econbiz.de/10003477122
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Finite sample properties of the QMLE for the log-ACD model : application to Australian stocks
Allen, David E.; Chan, Felix; McAleer, Michael; Peiris, … - 2006
Persistent link: https://www.econbiz.de/10003383578