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A semiparametric conditional duration model

Dungey, Mardi; Long, Xiangdong; Ullah, Aman; Wang, Yun

Description

We propose a new semiparametric autoregressive duration (SACD) model, which incorporates the parametric and nonparametric estimators of the conditional duration in a multiplicative way. Asymptotic properties for this combined estimator are presented. The

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
URI: http://hdl.handle.net/1885/74061
Source: Economics Letters
DOI: 10.1016/j.econlet.2014.06.013

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