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Nonlinear Least Squares Estimation of Log-ACD Models 被引量:1
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作者 Zhao CHEN Wei LIU +2 位作者 Christina Dan WANG wu-qing wu Yao-hua wu 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2018年第3期516-533,共18页
This paper studies a nonlinear least squares estimation method for the logarithmic autoregressive conditional duration(Log-ACD) model. We establish the strong consistency and asymptotic normality for our estimator u... This paper studies a nonlinear least squares estimation method for the logarithmic autoregressive conditional duration(Log-ACD) model. We establish the strong consistency and asymptotic normality for our estimator under weak moment conditions suitable for applications involving heavy-tailed distributions. We also discuss inference for the Log-ACD model and Log-ACD models with exogenous variables. Our results can be easily translated to study Log-GARCH models. Both simulation study and real data analysis are conducted to show the usefulness of our results. 展开更多
关键词 Log-ACD model nonlinear least squares estimation Log-GARCH model heavy-tail
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Robust M-estimate of GJR Model with High Frequency Data 被引量:3
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作者 Jin-shan HUANG wu-qing wu +1 位作者 Zhao CHEN Jian-jun ZHOU 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2015年第3期591-606,共16页
In this paper, we study the GJR scaling model which embeds the intraday return processes into the daily GJR model and propose a class of robust M-estimates for it. The estimation procedures would be more efficient whe... In this paper, we study the GJR scaling model which embeds the intraday return processes into the daily GJR model and propose a class of robust M-estimates for it. The estimation procedures would be more efficient when high-frequency data is taken into the model. However, high-frequency data brings noises and outliers which may lead to big bias of the estimators. Therefore, robust estimates should be taken into consideration. Asymptotic results are derived from the robust M-estimates without the finite fourth moment of the innovations. A simulation study is carried out to assess the performance of the model and its estimates.Robust M-estimate of GJR model is also applied in predicting Va R for real financial time series. 展开更多
关键词 GJR model GARCH model Robust M-estimates scaling model volatility proxy
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