Semiparametric autoregressive conditional duration model: theory and practice
DOI10.1080/07474938.2014.956594zbMATH Open1491.62257OpenAlexW3124536543MaRDI QIDQ5863565FDOQ5863565
Authors: Patrick W. Saart, Jiti Gao, D. 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
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durationdependent point processsemiparametric time serieshazard rate and random measureirregularly spaced high-frequency data
Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- Consistent model specification tests for time series econometric models
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- Root-N-Consistent Semiparametric Regression
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- Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Nonparametric curve estimation from time series
- Convergence rates for parametric components in a partly linear model
- A family of autoregressive conditional duration models
- Root-n-consistent estimation of partially linear time series models
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
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- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- Nonlinear Time Series
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Cited In (15)
- SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
- The Special Issue in Honor of Aman Ullah: An Overview
- Self-weighted quantile estimation of autoregressive conditional duration model
- Quantile estimation in ultra-high frequency financial data: a comparison between parametric and semiparametric approach
- A Dynamic Semiparametric Proportional Hazard Model
- A semiparametric conditional duration model
- Entropy test and residual empirical process for autoregressive conditional duration models
- A random parameter AACD model and its geometric ergodicity
- Extension and verification of the asymmetric autoregressive conditional duration models
- Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
- Nonstationary autoregressive conditional duration models
- A simple R-estimation method for semiparametric duration models
- On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
- The Effect of Sample Selection and Initial Conditions in Duration Models: Evidence from Experimental Data on Training
- A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
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