Function for calculation of log likelihood of ACD model

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Description

This function calculates the conditional duration and resulting log likelihood of ACD models. This function is called by ACD_Fit.

Usage

1
ACD_Lik(param, x, qLag, pLag, distrib, typeACD, typeCall = "maxLik")

Arguments

param

parameter vector

x

Observed duration series

qLag

Maximum lag for alpha parameter

pLag

Maximum lag for beta parameter

distrib

Distribution assumption

typeACD

Type of ACD model

typeCall

Type of Call to function

Value

Returns the log likelihood of the model, or filtered series (depending on typeCall).

Author(s)

Marcelo Perlin - ICMA/UK <marceloperlin@gmail.com>