Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
MetadataShow full item record
This paper concerns the properties of the Quasi Maximum Likelihood Estimator (QMLE) of the Logarithmic Autoregressive Conditional Duration (Log-ACD) model. Proofs of consistency and asymptotic normality of QMLE for the Log-ACD model with log-normal density are presented. This is an important issue as the Log-ACD is used widely for testing various market microstructure models and effects. Knowledge of the distribution of the QMLE is crucial for purposes of valid inference and diagnostic checking. The theoretical results developed in the paper are evaluated using Monte Carlo experiments. The experimental results also provide insights into the finite sample properties of the Log-ACD model under different distributional assumptions. Finally, this paper presents two extensions to the Log-ACD model to accommodate asymmetric effects. The usefulness of these novel models will be evaluated empirically using data from Australian stocks.
The link to the journal’s home page is: http://www.elsevier.com/wps/find/journaldescription.cws_home/505575/description#description. Copyright © 2008 Elsevier B.V. All rights reserved
Showing items related by title, author, creator and subject.
Chan, Felix; Theoharakis, Billy (2011)It is well known in the literature that obtaining the parameter estimates for the Smooth Transition Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (STAR-GARCH) can be problematic due to computational ...
Chan, Felix; Mcaleer, M.; Marinova, Dora (2007)The purpose in registering patents is to protect the intellectual property of the rightful owners. Deterministic and stochastic trends in registered patents can be used to describe a country's technological capabilities ...
Chan, Felix (2009)Since the introduction of the Autoregressive Conditional Heteroscedasticity (ARCH) model of Engle [R. Engle, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, ...