Title

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

Document Type

Journal Article

Publisher

Elsevier

Faculty

Faculty of Business and Law

School

School of Business

RAS ID

17456

Comments

This article was originally published as: 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. Original article 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

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