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

DOI10.1080/00949655.2015.1107908MaRDI QIDQ5222480OpenAlexFDO

Authors Yuanhua Feng, Sarah Forstinger, Christian Peitz

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL http://groups.uni-paderborn.de/fiwi/RePEc/pdf/wpaper/WP66.pdf

zbMATH Keywords

simulationlocal linear estimatorcubic splineautoregressive conditional durationdiurnal duration patternsiterative plug-in

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Data-driven estimation of diurnal patterns of durations between trades on financial markets
• Modeling financial durations using penalized estimating functions
• Semiparametric autoregressive conditional duration model: theory and practice
• A semiparametric conditional duration model
• A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model

Cites work

• A Flexible and Fast Method for Automatic Smoothing
• A Note on Penalized Spline Smoothing With Correlated Errors
• A family of autoregressive conditional duration models
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Data-driven estimation of diurnal patterns of durations between trades on financial markets
• Econometrics of financial high-frequency data
• Generalized autoregressive conditional heteroscedasticity
• LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION
• SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
• The Econometrics of Ultra-high-frequency Data
• Time-varying autoregressive conditional duration model

Cited in

(2)

• Data-driven estimation of diurnal patterns of durations between trades on financial markets
• The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity

This page was built for publication: On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5222480)