Other Mathematics Commons^™

High Frequency Data: Modeling Durations Via The Acd And Log Acd Models, Lilian Cheung

Honors Scholar Theses

This thesis proposes a method of finding initial parameter estimates in the Log ACD₁ model for use in recursive estimation. The recursive estimating equations method is applied to the Log ACD₁ model to find recursive estimates for the unknown parameters in the model. A literature review is provided on the ACD and Log ACD models, and on the theory of estimating equations. Monte Carlo simulations indicate that the proposed method of finding initial parameter estimates is viable. The parameter estimation process is demonstrated by fitting an ACD model and a Log ACD model to a set of IBM …