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A semiparametric conditional duration model
journal contributionposted on 2023-05-18, 03:47 authored by Dungey, MH, Long, X, Ullah, A, Wang, Y
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.
Publication titleEconomics Letters
Place of publicationNetherlands
Rights statementCopyright 2014 Elsevier BV