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Estimation of the Stochastic Conditional Duration Model via Alternative Methods.

Abstract:

This paper examines the estimation of the Stochastic Conditional Duration model by the empirical characteristic function and the generalized method of moments when maximum likelihood is unavailable. The joint characteristic function for the durations along with general expressions for the moments are derived, leading naturally to estimation via the empirical characteristic function and generalized method of moments. In a Monte Carlo study as well as an empirical application, these alternative...

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Journal:
Econometrics Journal
Volume:
11
Publication date:
2008-01-01
URN:
uuid:ee94f47f-eb9e-4587-9640-33ec07eda470
Local pid:
oai:economics.ouls.ox.ac.uk:10457
Language:
English

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