The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics

This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates. •Parameter estimation of ACD mod...

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Bibliographic Details
Published inEconomics letters Vol. 120; no. 1; pp. 117 - 122
Main Authors Allen, David, Ng, K.H., Peiris, Shelton
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.07.2013
Elsevier Science Ltd
Subjects
Conditional duration
Economic models
Economic theory
Estimating functions
Estimating techniques
Estimation
Financial economics
High frequency data
Mathematical functions
Maximum likelihood
Maximum likelihood method
Modelling
Simulation
Studies
C41
Estimating functions
C32
C13
C14
Conditional duration
Maximum likelihood
High frequency data
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Summary:This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates. •Parameter estimation of ACD models using the Estimating Functions (EF) approach.•Study the finite sample behaviour of corresponding new estimators.•Investigate the asymptotic behaviours of these proposed estimators.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2013.03.049