Estimating and simulating Weibull models of risk or price durations: An application to ACD models
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference17 articles.
1. Finite sample properties of QMLE for the log-ACD model: Application to Australian stocks;Allen;Journal of Econometrics,2008
2. Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market;Allen;Mathematics and Computers in Simulation,2009
3. The logarithmic ACD model: An application to the bid-ask quote process of three NYSE stocks;Bauwens;Annales D’Economie et de Statistique,2000
4. The MM, ME, ML, EL, EF and GMM approaches to estimation: A synthesis;Bera;Journal of Econometrics,2002
5. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
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