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.
|Number of pages||15|
|Journal||Communications in Statistics: Simulation and Computation|
|Publication status||Published - 2012 Mar 1|
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Modelling and Simulation