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

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

This paper concerns the properties of the Quasi Maximum Likelihood Estimator (QMLE) of the Logarithmic Autoregressive Conditional Duration (Log-ACD) model. Proofs of consistency and asymptotic normality of QMLE for the Log-ACD model with log-normal density are presented. This is an important issue a...

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Bibliographic Details
Main Authors: Allen, D., Chan, Felix, McAleer, M., Peiris, S.
Format: Journal Article
Published: Elsevier 2008
Subjects:
Monte Carlo simulation
Conditional Duration
ACD
Lof-ACD
Asymmetry
Online Access:http://hdl.handle.net/20.500.11937/34878

Internet

http://hdl.handle.net/20.500.11937/34878

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