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

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 120
Issue: 1
Pages: 117-122

Authors (3)

Allen, David (Asia University) Ng, K.H. (not in RePEc) Peiris, Shelton (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:120:y:2013:i:1:p:117-122
Journal Field
General
Author Count
3
Added to Database
2026-01-24