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

Min Hsien Chiang, Li Min Wang

研究成果: Article

5 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)287-301
頁數15
期刊Communications in Statistics: Simulation and Computation
41
發行號3
DOIs
出版狀態Published - 2012 三月 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modelling and Simulation

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