Fitting weibull ACD models to high frequency transactions data: A semi-parametric approach based on estimating functions
Autoregressive conditional duration (ACD) models play an important role in financial modeling. This paper considers the estimation of the Weibull ACD model using a semiparametric approach based on the theory of estimating functions (EF). We apply the EF and the maximum likelihood (ML) methods to a d...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/11167/1/fitting_weibull_acd_models.pdf |
| _version_ | 1796946191941894144 |
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| author | Ng, K.H. Allen, D. Peiris, S. |
| author_facet | Ng, K.H. Allen, D. Peiris, S. |
| author_sort | Ng, K.H. |
| collection | UM |
| description | Autoregressive conditional duration (ACD) models play an important role in financial modeling. This paper considers the estimation of the Weibull ACD model using a semiparametric approach based on the theory of estimating functions (EF). We apply the EF and the maximum likelihood (ML) methods to a data set given in Tsay (2003, p203) to
compare these two methods. It is shown that the EF approach is easier to apply in practice and gives better estimates than the MLE. Results show that the EF approach is compatible with the ML method in parameter estimation. Furthermore, the computation speed for the EF approach is much faster than for the MLE and therefore offers a
significant reduction of the completion time. |
| first_indexed | 2024-03-06T05:27:57Z |
| format | Conference or Workshop Item |
| id | um.eprints-11167 |
| institution | Universiti Malaya |
| language | English |
| last_indexed | 2024-03-06T05:27:57Z |
| publishDate | 2009 |
| record_format | dspace |
| spelling | um.eprints-111672014-12-18T00:37:37Z http://eprints.um.edu.my/11167/ Fitting weibull ACD models to high frequency transactions data: A semi-parametric approach based on estimating functions Ng, K.H. Allen, D. Peiris, S. AC Collections. Series. Collected works Autoregressive conditional duration (ACD) models play an important role in financial modeling. This paper considers the estimation of the Weibull ACD model using a semiparametric approach based on the theory of estimating functions (EF). We apply the EF and the maximum likelihood (ML) methods to a data set given in Tsay (2003, p203) to compare these two methods. It is shown that the EF approach is easier to apply in practice and gives better estimates than the MLE. Results show that the EF approach is compatible with the ML method in parameter estimation. Furthermore, the computation speed for the EF approach is much faster than for the MLE and therefore offers a significant reduction of the completion time. 2009-07 Conference or Workshop Item PeerReviewed application/pdf en http://eprints.um.edu.my/11167/1/fitting_weibull_acd_models.pdf Ng, K.H. and Allen, D. and Peiris, S. (2009) Fitting weibull ACD models to high frequency transactions data: A semi-parametric approach based on estimating functions. In: 15th International Conference on Computing in Economics and Finance, 15-17 July 2009, Sydney, Australia. (Submitted) |
| spellingShingle | AC Collections. Series. Collected works Ng, K.H. Allen, D. Peiris, S. Fitting weibull ACD models to high frequency transactions data: A semi-parametric approach based on estimating functions |
| title | Fitting weibull ACD models to high frequency transactions data: A semi-parametric approach based on estimating functions |
| title_full | Fitting weibull ACD models to high frequency transactions data: A semi-parametric approach based on estimating functions |
| title_fullStr | Fitting weibull ACD models to high frequency transactions data: A semi-parametric approach based on estimating functions |
| title_full_unstemmed | Fitting weibull ACD models to high frequency transactions data: A semi-parametric approach based on estimating functions |
| title_short | Fitting weibull ACD models to high frequency transactions data: A semi-parametric approach based on estimating functions |
| title_sort | fitting weibull acd models to high frequency transactions data a semi parametric approach based on estimating functions |
| topic | AC Collections. Series. Collected works |
| url | http://eprints.um.edu.my/11167/1/fitting_weibull_acd_models.pdf |
| work_keys_str_mv | AT ngkh fittingweibullacdmodelstohighfrequencytransactionsdataasemiparametricapproachbasedonestimatingfunctions AT allend fittingweibullacdmodelstohighfrequencytransactionsdataasemiparametricapproachbasedonestimatingfunctions AT peiriss fittingweibullacdmodelstohighfrequencytransactionsdataasemiparametricapproachbasedonestimatingfunctions |