Fitting weibull ACD models to high frequency transactions data: A semi-parametric approach based on estimating functions

• Main Authors: Ng, K.H., Allen, D., Peiris, S.
• Format: Conference or Workshop Item
• Language: English
• Published: 2009
• Subjects: AC Collections. Series. Collected works
• Online Access: http://eprints.um.edu.my/11167/1/fitting_weibull_acd_models.pdf; http://eprints.um.edu.my/11167/

Autoregressive conditional duration (ACD) models play an important role in financial modeling. This paper considers the estimation of the Weibull ACD model using a semiparametric approach based on the theory of estimating functions (EF). We apply the EF and the maximum likelihood (ML) methods to a d...