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Least absolute deviation estimation of autoregressive conditional duration model |
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| Authors: | Liu Wei Hui-min Wang Min Chen |
| Institution: | (1) Institute for Statistics and Mathematical Economics, University of Karlsruhe, Karlsruhe, Germany;(2) Department of Statistics and Applied Probability, University of California, Santa Barbara, CA, USA;(3) Yale School of Management, New Haven, CT, USA;(4) School of Management, Yale University, 135 Prospect Street, New Haven, CT 06511, USA;(5) Department of Accounting and Finance, Monash University, Melbourne, Australia; |
| Abstract: | 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. |
| Keywords: | least absolute deviation estimation ACD model heavy tail |
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