Modeling financial durations using penalized estimating functions-Reference-Cited by-同舟云学术

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Modeling financial durations using penalized estimating functions

Published:2019-03 Issue: Volume:131 Page:145-158
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Zhang Yaohua,Zou Jian^ORCID,Ravishanker Nalini,Thavaneswaran Aerambamoorthy

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference34 articles.

1. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks;Allen;J. Econometrics,2008

2. The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks;Bauwens;Ann. Econ. Stat.,2000

3. Modelling financial high frequency data using point processes;Bauwens,2009

4. Estimating functions and equations: An essay on historical developments with applications to econometrics;Bera;Palgrave Handb. Econom.,2006

5. Subset ARMA selection via the adaptive Lasso;Chen;Stat. Interface,2011

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1. Review of Statistical Approaches for Modeling High-Frequency Trading Data;Sankhya B;2022-04-28

2. Data-Driven Adaptive Regularized Risk Forecasting;2020 IEEE 44th Annual Computers, Software, and Applications Conference (COMPSAC);2020-07

3. Editorial for the special issue on High-dimensional and functional data analysis;Computational Statistics & Data Analysis;2019-03

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