Semiparametric autoregressive conditional duration model: theory and practice
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Cites work
- A family of autoregressive conditional duration models
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- Adaptive estimation in partially linear autoregressive models
- An algorithm for nonparametric GARCH modelling.
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Bias-corrected Confidence Bands in Nonparametric Regression
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- Consistent model specification tests for time series econometric models
- Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
- Convergence rates for parametric components in a partly linear model
- Effect of bias estimation on coverage accuracy of bootstrap confidence intervals for a probability density
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
- scientific article; zbMATH DE number 1533566 (Why is no real title available?)
- scientific article; zbMATH DE number 947422 (Why is no real title available?)
- KERNEL REGRESSION SMOOTHING OF TIME SERIES
- Nonlinear Time Series
- Nonparametric curve estimation from time series
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- Root-n-consistent estimation of partially linear time series models
- Root-N-Consistent Semiparametric Regression
- SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR MODELS FOR DEPENDENT DATA WITH GENERATED REGRESSORS
- UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
Cited in
(15)- SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
- Entropy test and residual empirical process for autoregressive conditional duration models
- Quantile estimation in ultra-high frequency financial data: a comparison between parametric and semiparametric approach
- Self-weighted quantile estimation of autoregressive conditional duration model
- A simple R-estimation method for semiparametric duration models
- Nonstationary autoregressive conditional duration models
- Extension and verification of the asymmetric autoregressive conditional duration models
- The Effect of Sample Selection and Initial Conditions in Duration Models: Evidence from Experimental Data on Training
- A semiparametric conditional duration model
- Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
- On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
- A random parameter AACD model and its geometric ergodicity
- A Dynamic Semiparametric Proportional Hazard Model
- The Special Issue in Honor of Aman Ullah: An Overview
- A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
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