Semiparametric Autoregressive Conditional Duration Model: Theory and Practice
From MaRDI portal
Publication:5863565
DOI10.1080/07474938.2014.956594zbMath1491.62257OpenAlexW3124536543MaRDI QIDQ5863565
Patrick W. Saart, J. T. Gao, David E. Allen
Publication date: 3 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2014.956594
durationdependent point processsemiparametric time serieshazard rate and random measureirregularly spaced high-frequency data
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- A family of autoregressive conditional duration models
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- Convergence rates for parametric components in a partly linear model
- Nonparametric curve estimation from time series
- Effect of bias estimation on coverage accuracy of bootstrap confidence intervals for a probability density
- Consistent model specification tests for time series econometric models
- An algorithm for nonparametric GARCH modelling.
- Nonlinear Time Series
- UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
- How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
- Root-N-Consistent Semiparametric Regression
- Root-n-consistent estimation of partially linear time series models
- KERNEL REGRESSION SMOOTHING OF TIME SERIES
- Bias-corrected Confidence Bands in Nonparametric Regression
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- Adaptive estimation in partially linear autoregressive models
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR MODELS FOR DEPENDENT DATA WITH GENERATED REGRESSORS
- Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
This page was built for publication: Semiparametric Autoregressive Conditional Duration Model: Theory and Practice