Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5058862 | Economics Letters | 2014 | 5 Pages |
Abstract
â¢Our paper proposes a new semiparametric estimator of ACD model.â¢Asymptotic properties are presented.â¢One empirical application is conducted to the US 2-Year Treasury note.â¢We show the outperformance of our new estimator over the parametric ACD models.
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.
Related Topics
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Authors
Mardi Dungey, Xiangdong Long, Aman Ullah, Yun Wang,