Generalized duration models and optimal estimation using estimating functions
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DOI: 10.1007/s10463-013-0442-9
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Cited by:
- Aerambamoorthy Thavaneswaran & Nalini Ravishanker, 2023. "Estimating Functions for Circular Time Series Models," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 198-213, February.
- Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
- Zhang, Yaohua & Zou, Jian & Ravishanker, Nalini & Thavaneswaran, Aerambamoorthy, 2019. "Modeling financial durations using penalized estimating functions," Computational Statistics & Data Analysis, Elsevier, vol. 131(C), pages 145-158.
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Keywords
ACD models; Combined estimating functions; Generalized martingale differences; Quadratic log-SCD models ; Random coefficients; Recursive estimates;All these keywords.
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