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A semiparametric conditional duration model

Citation

Dungey, MH and Long, X and Ullah, A and Wang, Y, A semiparametric conditional duration model, Economics Letters, 124, (3) pp. 362-366. ISSN 0165-1765 (2014) [Refereed Article]

Copyright Statement

Copyright 2014 Elsevier BV

DOI: doi:10.1016/j.econlet.2014.06.013

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 empirical application to the transaction duration of the US 2-Year Treasury note shows the outperformance of our SACD models over parametric ACD models.

Item Details

Item Type:Refereed Article
Keywords:Duration, Nonparametric estimator, Semiparametric model
Research Division:Economics
Research Group:Applied Economics
Research Field:Macroeconomics (incl. Monetary and Fiscal Theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Dungey, MH (Professor Mardi Dungey)
ID Code:95171
Year Published:2014
Web of Science® Times Cited:1
Deposited By:Tasmanian School of Business and Economics
Deposited On:2014-09-26
Last Modified:2015-04-24
Downloads:0

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