We introduce new quantile estimators with adaptive importance sampling. The adaptive estimators are based on weighted samples that are neither independent nor identically distributed. Using the law of iterated logarithm for martingales, we prove the convergence of the adaptive quantile...

The evaluation of the likelihood function of the stochastic conditional duration model requires to compute an integral that has the dimension of the sample size. We apply the efficient importance sampling method for computing this integral. We compare EIS-based ML estimation with QML estimation...