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 |
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