PubAg

Main content area

A semiparametric conditional duration model

Author:
Dungey, Mardi, Long, Xiangdong, Ullah, Aman, Wang, Yun
Source:
Economics letters 2014 v.124 no.3 pp. 362-366
ISSN:
0165-1765
Subject:
economics, models, United States
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.
Agid:
5998272