Data-driven estimation of diurnal patterns of durations between trades on financial markets

DOI10.1016/j.spl.2014.05.011zbMath1396.62088OpenAlexW2013338290MaRDI QIDQ2251694

Yuanhua Feng

Publication date: 15 July 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.05.011

zbMATH Keywords

local linear estimatorbandwidth selectionautoregressive conditional durationdiurnal duration patternsiterative plug-in

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistical methods; risk measures (91G70)

Related Items (1)

On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations

Cites Work

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• LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION
• Functional data analysis for point processes with rare events

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