A semiparametric conditional duration model

DOI10.1016/j.econlet.2014.06.013zbMath1303.62055OpenAlexW2075629051MaRDI QIDQ485700

Aman Ullah, Mardi Dungey, Xiangdong Long, Yun Wang

Publication date: 14 January 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.06.013

zbMATH Keywords

semiparametric modeldurationnonparametric estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05)

Cites Work

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• Econometric analysis of financial trade processes by discrete mixture duration models
• A Class of Improved Parametrically Guided Nonparametric Regression Estimators
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Parametrically Guided Non‐parametric Regression
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model
• A nonlinear autoregressive conditional duration model with applications to financial transaction data

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