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Fitting Weibull ACD models to high frequency transactions data : a semi-parametric approach based on estimating functions
Kok Haur Ng; Allen, David E.; Peiris, Shelton - 2009
Persistent link: https://www.econbiz.de/10003869587
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Estimating and simulating Weibull models of risk or price durations : an application to ACD models
Allen, David E.; Kok Haur Ng; Peiris, Shelton - In: The North American journal of economics and finance : a … 25 (2013), pp. 214-225
Persistent link: https://www.econbiz.de/10009779281
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The efficient modelling of high frequency transaction data : a new application of estimating functions in financial economics
Allen, David E.; Kok Haur Ng; Peiris, Shelton - In: Economics letters 120 (2013) 1, pp. 117-122
Persistent link: https://www.econbiz.de/10009760440
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Finite sample properties of the QMLE for the log-ACD model : application to Australian stocks
Allen, David E.; Chan, Felix; McAleer, Michael; Peiris, … - 2006
Persistent link: https://www.econbiz.de/10003383578
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Finite sample properties of the QMLE for the Log-ACD model : application to Australian stocks
Allen, David E.; Chan, Felix; McAleer, Michael; Peiris, … - In: Journal of econometrics 147 (2008) 1, pp. 163-185
Persistent link: https://www.econbiz.de/10003783798