A (semi-)parametric functional coefficient autoregressive conditional duration model
In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymme- tries in financial durations. In particular, our functional coefficient autoregressive con- ditional duration (FC-ACD) model relies on a smooth-transition autoregressive speci- fication. The motivation lies on the fact that the latter yields a universal approximation if one lets the number of regimes grows without bound. After establishing that the suf- ficient conditions for strict stationarity do not exclude explosive regimes, we address model identifiability as well as the existence, consistency, and asymptotic normality of the quasi-maximum likelihood (QML) estimator for the FC-ACD model with a fixed number of regimes. In addition, we also discuss how to consistently estimate using a sieve approach a semiparametric variant of the FC-ACD model that takes the number of regimes to infinity. An empirical illustration indicates that our functional coefficient model is flexible enough to model IBM price durations.
Year of publication: |
2013-12-09
|
---|---|
Authors: | Fernandes, Marcelo ; Medeiros, Marcelo C. ; Veiga, Alvaro |
Institutions: | Escola de Economia de São Paulo (EESP), Fundação Getulio Vargas (FGV) |
Saved in:
Saved in favorites
Similar items by person
-
Modeling and predicting the CBOE market volatility index
Fernandes, Marcelo, (2013)
-
A (semi-)parametric functional coefficient autoregressive conditional duration model
Fernandes, Marcelo, (2006)
-
A (semi-)parametric functional coefficient autoregressive conditional duration model
Fernandes, Marcelo, (2006)
- More ...