This paper studies the least absolute deviation estimation of the high frequency financial autoregressive conditional duration （ACD） model. The asymptotic properties of the estimator are studied given mild regularit...This paper studies the least absolute deviation estimation of the high frequency financial autoregressive conditional duration （ACD） model. The asymptotic properties of the estimator are studied given mild regularity conditions. Furthermore, we develop a Wald test statistic for the linear restriction on the parameters. A simulation study is conducted for the finite sample properties of our estimator. Finally, we give an empirical study of financial duration.展开更多
基金Supported by the National Natural Science Foundation of China(No.70221001,No.70331001,No.10628104)the National Basic Research Program of China(973Program)(No.2007CB814902)+4 种基金Min Chen's work was supported by a grant from the Major State Basic Research Development Program of China(973 Program)(No. 2007CB14902)the National High Technology Research and Development Program of China(863 Program)(No. 2007AA12Z04)public-spirited Program of the Ministry of Water Resources of the People's Republic of China (No.200801027)the National Natural Science Foundation of China(No.10721101)Key Laboratory of Random Complex Structures and Data Science,Academy of Mathematics&Systems Science,Chinese Academy of Sciences(No.2008DP173182)
文摘This paper studies the least absolute deviation estimation of the high frequency financial autoregressive conditional duration （ACD） model. The asymptotic properties of the estimator are studied given mild regularity conditions. Furthermore, we develop a Wald test statistic for the linear restriction on the parameters. A simulation study is conducted for the finite sample properties of our estimator. Finally, we give an empirical study of financial duration.
