Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model

Min Hsien Chiang, Li Min Wang

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

Abstract

This study investigates the influences of additive outliers on financial durations. An outlier test statistic and an outlier detection procedure are proposed to detect and estimate outlier effects for the logarithmic Autoregressive Conditional Duration (Log-ACD) model. The proposed test statistic has an exact sampling distribution and performs very well, in terms of size and power, in a series of Monte Carlo simulations. Furthermore, the test statistic is robust to several alternative distribution assumptions. An empirical application shows that parameter estimates without considering outliers tend to be biased.

Original languageEnglish
Pages (from-to)287-301
Number of pages15
JournalCommunications in Statistics: Simulation and Computation
Volume41
Issue number3
DOIs
Publication statusPublished - 2012 Mar 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modelling and Simulation

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