<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> / Master of Science (MSc)
| Identifer | oai:union.ndltd.org:mcmaster.ca/oai:macsphere.mcmaster.ca:11375/11092 |
| Date | 10 1900 |
| Creators | Mayorov, Kirill |
| Contributors | Balakrishnan, Narayanaswamy, Mathematics and Statistics |
| Source Sets | McMaster University |
| Detected Language | English |
| Type | thesis |
Page generated in 0.0025 seconds