Nonlinear Least Squares Estimation of Log-ACD Models
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This paper studies a nonlinear least squares estimation method for the logarithmic autoregressive conditional duration (Log-ACD) model. We establish the strong consistency and asymptotic normality for our estimator under weak moment conditions suitable for applications involving heavy-tailed distributions. We also discuss inference for the Log-ACD model and Log-ACD models with exogenous variables. Our results can be easily translated to study Log-GARCH models. Both simulation study and real data analysis are conducted to show the usefulness of our results.
KeywordsLog-ACD model nonlinear least squares estimation Log-GARCH model heavy-tail
2000 MR Subject Classification62M10
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