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

Authors

David E. Allen, Edith Cowan UniversityFollow
K Ng
S Peiris

Document Type

Journal Article

Publisher

Elsevier

Faculty

Faculty of Business and Law

School

School of Business

RAS ID

17456

Comments

Allen, D. E., Ng, K., & Peiris, S. (2013). The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics. Economics Letters, 120(1), 117-122. Available here

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.

DOI

10.1016/j.econlet.2013.03.049