Least Absolute Deviation Estimation of Autoregressive Conditional Duration Model  

作　　者：Wei Liu Hui-min Wang Min Chen 

机构地区：[1]Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China [2]Business School, Hohai University, Nanjing 210098, China [3]Information Management Center of China Minsheng Banking Corp., Ltd., Beijing 100873, China

出　　处：《Acta Mathematicae Applicatae Sinica》2011年第2期243-254,共12页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China(No.70221001,No.70331001,No.10628104);the National Basic Research Program of China(973Program)(No.2007CB814902);Min Chen's work was supported by a grant from the Major State Basic Research Development Program of China(973 Program)(No. 2007CB14902);the National High Technology Research and Development Program of China(863 Program)(No. 2007AA12Z04);public-spirited Program of the Ministry of Water Resources of the People's Republic of China (No.200801027);the National Natural Science Foundation of China(No.10721101);Key Laboratory of Random Complex Structures and Data Science,Academy of Mathematics&Systems Science,Chinese Academy of Sciences(No.2008DP173182)

摘　　要：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.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.

关 键 词：least absolute deviation estimation ACD model heavy tail 

分 类 号：O174.55[理学—数学] P338[理学—基础数学]