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A semiparametric conditional duration model

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Date

2014

Authors

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

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

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

Description

Keywords

Citation

URI

http://hdl.handle.net/1885/74061

Collections

ANU Research Publications

Source

Economics Letters

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1016/j.econlet.2014.06.013

Restricted until

2037-12-31

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