There is now a massive literature on both the GARCH family of risk models and the related Auto-Conditional Duration (ACD) models used for modeling the stochastic timing of trades or price changes in finance market microstructure research. Both have their origins in Engle (1982) and Bollerslev...

This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates.