Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks

Journal of Econometrics

Volumn 147, Issue 1, 2008, Pages 163-185

  Allen, David ^a   Chan, Felix ^b   McAleer, Michael ^c   Peiris, Shelton ^d  

^a EDITH COWAN UNIVERSITY   (Australia)

^b CURTIN UNIVERSITY   (Australia)

^c UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^d UNIVERSITY OF SYDNEY   (Australia)

Author keywords

ACD; Asymmetry; Conditional duration; Log ACD; Monte Carlo simulation

Indexed keywords

TIME VARYING SYSTEMS;

ACD; ASYMMETRY; CONDITIONAL DURATION; LOG-ACD; MONTE CARLO SIMULATION;

MONTE CARLO METHODS;

EID: 55349128159     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.09.020     Document Type: Article

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