Least Absolute Deviation Estimation of Autoregressive Conditional Duration Model

• Published in: Acta Mathematicae Applicatae Sinica Vol. 27; no. 2; pp. 243 - 254
• Main Authors: Wei, Liu, Wang, Hui-min, Chen, Min
• Format: Journal Article
• Language: English
• Published: Heildeberg Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society 01.04.2011
• Subjects: ACD; Applications of Mathematics; Math Applications in Computer Science; Mathematical and Computational Physics; Mathematics; Mathematics and Statistics; Theoretical; 偏差估计; 持续性; 有限样本性质; 检验统计量; 渐近性质; 自回归; 62G05; heavy tail; least absolute deviation estimation; ACD model
• ISSN: 0168-9673; 1618-3932
• DOI: 10.1007/s10255-011-0059-9

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.