caa a22 4500 445831022 CHVBK 20180317145315.0 cr unu---uuuuu 170323e20110401xx s 000 0 eng 10.1007/s10255-011-0059-9 doi (NATIONALLICENCE)springer-10.1007/s10255-011-0059-9 Least absolute deviation estimation of autoregressive conditional duration model [Elektronische Daten] [Liu Wei, Hui-min Wang, Min Chen] This paper studies the least absolute deviation estimation of the high frequency financial autoregressive conditional duration (ACD) model. The asymptotic properties of the estimator are studied given mild regularity conditions. Furthermore, we develop a Wald test statistic for the linear restriction on the parameters. A simulation study is conducted for the finite sample properties of our estimator. Finally, we give an empirical study of financial duration. Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg, 2011 least absolute deviation estimation nationallicence ACD model nationallicence heavy tail nationallicence Wei Liu Academy of Mathematics and Systems Science, Chinese Academy of Sciences, 100190, Beijing, China aut Wang Hui-min Business School, Hohai University, 210098, Nanjing, China aut Chen Min Academy of Mathematics and Systems Science, Chinese Academy of Sciences, 100190, Beijing, China aut Acta Mathematicae Applicatae Sinica, English Series Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society 27/2(2011-04-01), 243-254 0168-9673 27:2<243 2011 27 10255 https://doi.org/10.1007/s10255-011-0059-9 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s10255-011-0059-9 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Wei Liu Academy of Mathematics and Systems Science, Chinese Academy of Sciences, 100190, Beijing, China aut NATIONALLICENCE 700 1- Wang Hui-min Business School, Hohai University, 210098, Nanjing, China aut NATIONALLICENCE 700 1- Chen Min Academy of Mathematics and Systems Science, Chinese Academy of Sciences, 100190, Beijing, China aut NATIONALLICENCE 773 0- Acta Mathematicae Applicatae Sinica, English Series Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society 27/2(2011-04-01), 243-254 0168-9673 27:2<243 2011 27 10255 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer