The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics

David Allen, Kok Haur Ng and Shelton Peiris

Economics Letters, 2013, vol. 120, issue 1, 117-122

Abstract: 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.

Keywords: Conditional duration; High frequency data; Estimating functions; Maximum likelihood (search for similar items in EconPapers)
JEL-codes: C13 C14 C32 C41 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:1:p:117-122

DOI: 10.1016/j.econlet.2013.03.049

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