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...

In this paper we propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. The new model is a multiple regime smooth transition extension of the Heterogeneous Autoregressive (HAR) model, which is specifically designed to model the behavior of the...

In this paper we consider estimation of demand systems with flexible functional forms, allowing an error term with a general conditional heteroskedasticity function that depends on observed covariates, such as demographic variables. We propose a general model that can be estimated either by...