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...

In this note it is shown that the expectation of the usual MLE estimator of the mean-reversion parameter in linear diffusion models does not exist. However, the moment does exist conditionally on the estimator of the autoregressive parameter in the discretized model being positive.

We derive a neat and compact representation of the asymptotic Fisher information matrix of a vector ARMA process. Its inverse can be used immediately as the asymptotic covariance matrix of the Gaussian maximum likelihood estimator. We also provide the robust sandwich covariance estimator when...