A semiparametric conditional duration model

Mardi Dungey; Xiangdong Long; Aman Ullah; Yun Wang

doi:10.1016/j.econlet.2014.06.013

A semiparametric conditional duration model

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

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

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.

Original language	English
Pages (from-to)	362-366
Number of pages	5
Journal	Economics Letters
Volume	124
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2014.06.013
Publication status	Published - Sept 2014

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10.1016/j.econlet.2014.06.013

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title = "A semiparametric conditional duration model",

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.",

keywords = "Duration, Nonparametric estimator, Semiparametric model",

author = "Mardi Dungey and Xiangdong Long and Aman Ullah and Yun Wang",

year = "2014",

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language = "English",

volume = "124",

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journal = "Economics Letters",

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T1 - A semiparametric conditional duration model

AU - Dungey, Mardi

AU - Long, Xiangdong

AU - Ullah, Aman

AU - Wang, Yun

PY - 2014/9

Y1 - 2014/9

N2 - 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.

AB - 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.

KW - Duration

KW - Nonparametric estimator

KW - Semiparametric model

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U2 - 10.1016/j.econlet.2014.06.013

DO - 10.1016/j.econlet.2014.06.013

M3 - Article

SN - 0165-1765

VL - 124

SP - 362

EP - 366

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

A semiparametric conditional duration model

Abstract

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