Allen, David; Chan, Felix; McAleer, Michael; Peiris, Shelton - In: Journal of Econometrics 147 (2008) 1, pp. 163-185
This paper concerns the properties of the Quasi Maximum Likelihood Estimator (QMLE) of the Logarithmic Autoregressive Conditional Duration (Log-ACD) model. Proofs of consistency and asymptotic normality of QMLE for the Log-ACD model with log-normal density are presented. This is an important...
