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

DOI10.1080/00949655.2015.1107908OpenAlexW2397514473MaRDI QIDQ5222480FDOQ5222480

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

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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)

Cites Work

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

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

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