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http://hdl.handle.net/11375/11092| Title: | MODELLING TRADE DURATIONS WITH THE BIRNBAUM-SAUNDERS AUTOREGRESSIVE MODEL |
| Authors: | Mayorov, Kirill |
| Advisor: | Balakrishnan, Narayanaswamy |
| Department: | Mathematics and Statistics |
| Keywords: | high-frequency data;ACD model;Birnbaum-Saunders distribution;Statistics and Probability;Statistics and Probability |
| Publication Date: | Oct-2011 |
| Abstract: | <p>In this thesis we study the Birnbaum-Saunders autoregressive conditional du- ration (BS-ACD) model. As opposed to the standard ACD model, formulated in terms of the conditional mean duration, the BS-ACD model specifies the time-varying model dynamics in terms of the conditional median duration. By means of Monte Carlo simulations, we examine the asymptotic behaviour of the maximum likelihood estimators. We then present a study of numerical efficacy of some optimization algorithms in relation to the BS-ACD model. On a practical side, we fit the BS-ACD model to samples for six securities listed on the New York Stock Exchange.</p> |
| URI: | http://hdl.handle.net/11375/11092 |
| Identifier: | opendissertations/6088 7114 2204381 |
| Appears in Collections: | Open Access Dissertations and Theses |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| fulltext.pdf | 1.1 MB | Adobe PDF | View/Open |
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