Search Results for author:
Found 2 papers, 0 papers with code
Asymptotics for the Generalized Autoregressive Conditional Duration Model
Engle and Russell (1998, Econometrica, 66:1127--1162) apply results from the GARCH literature to prove consistency and asymptotic normality of the (exponential) QMLE for the generalized autoregressive conditional duration (ACD) model, the so-called ACD(1, 1), under the assumption of strict stationarity and ergodicity.
The Econometrics of Financial Duration Modeling
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week.
Cannot find the paper you are looking for? You can
Submit a new open access paper.
