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...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Elsevier
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/34878 |
| _version_ | 1848754342985728000 |
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| author | Allen, D. Chan, Felix McAleer, M. Peiris, S. |
| author_facet | Allen, D. Chan, Felix McAleer, M. Peiris, S. |
| author_sort | Allen, D. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 as the Log-ACD is used widely for testing various market microstructure models and effects. Knowledge of the distribution of the QMLE is crucial for purposes of valid inference and diagnostic checking. The theoretical results developed in the paper are evaluated using Monte Carlo experiments. The experimental results also provide insights into the finite sample properties of the Log-ACD model under different distributional assumptions. Finally, this paper presents two extensions to the Log-ACD model to accommodate asymmetric effects. The usefulness of these novel models will be evaluated empirically using data from Australian stocks. |
| first_indexed | 2025-11-14T08:38:54Z |
| format | Journal Article |
| id | curtin-20.500.11937-34878 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:38:54Z |
| publishDate | 2008 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-348782017-09-13T16:08:47Z Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks Allen, D. Chan, Felix McAleer, M. Peiris, S. Monte Carlo simulation Conditional Duration ACD Lof-ACD Asymmetry 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 as the Log-ACD is used widely for testing various market microstructure models and effects. Knowledge of the distribution of the QMLE is crucial for purposes of valid inference and diagnostic checking. The theoretical results developed in the paper are evaluated using Monte Carlo experiments. The experimental results also provide insights into the finite sample properties of the Log-ACD model under different distributional assumptions. Finally, this paper presents two extensions to the Log-ACD model to accommodate asymmetric effects. The usefulness of these novel models will be evaluated empirically using data from Australian stocks. 2008 Journal Article http://hdl.handle.net/20.500.11937/34878 10.1016/j.jeconom.2008.09.020 Elsevier fulltext |
| spellingShingle | Monte Carlo simulation Conditional Duration ACD Lof-ACD Asymmetry Allen, D. Chan, Felix McAleer, M. Peiris, S. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks |
| title | Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks |
| title_full | Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks |
| title_fullStr | Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks |
| title_full_unstemmed | Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks |
| title_short | Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks |
| title_sort | finite sample properties of the qmle for the log-acd model: application to australian stocks |
| topic | Monte Carlo simulation Conditional Duration ACD Lof-ACD Asymmetry |
| url | http://hdl.handle.net/20.500.11937/34878 |