Data-driven estimation of diurnal duration patterns

This paper proposes a local linear estimator for diurnal patterns of transaction durations under a special nonparametric regression model, whose asymptotics are different to any known results. An iterative plug-in algorithm is developed for selecting the bandwidth. The ACD model is then applied to analyze the standardized durations. Data examples show that the proposals work well in practice.

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Year of publication:	2011-12
Authors:	Feng, Yuanhua
Institutions:	Department Volkswirtschaftslehre, Fachbereich für Wirtschaftswissenschaften
Subject:	Autoregressive conditional duration \| diurnal duration patterns \| local linear estimator \| bandwidth selection \| iterative plug-in

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Extent:	application/pdf
Series:	Working Papers CIE.
Type of publication:	Book / Working Paper
Notes:	Number 44 7 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C41 - Duration Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010780850