A semiparametric conditional duration model

We propose a new semiparametric autoregressive duration (SACD) model, which incorporates the parametric and nonparametric estimators of the conditional duration in a multiplicative way. Asymptotic properties for this combined estimator are presented. The empirical application to the transaction duration of the US 2-Year Treasury note shows the outperformance of our SACD models over parametric ACD models.

MoreLess

Year of publication:	2014
Authors:	Dungey, Mardi ; Long, Xiangdong ; Ullah, Aman ; Wang, Yun
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 124.2014, 3, p. 362-366
Publisher:	Elsevier
Subject:	Duration \| Nonparametric estimator \| Semiparametric model

More details

Type of publication:	Article
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C5 - Econometric Modeling ; G0 - Financial Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010930724