Generalized Moment Tests for Autoregressive Conditional Duration Models
AbstractAutoregressive conditional duration�(ACD) models have been shown to be important for several applications in empirical finance. In this paper, we consider a set of generalized moment tests for the conditional mean specifications, the IIDness assumption of the error terms, and the distribution assumptions of the error terms in the context of ACD models. These generalized tests are also applicable to other multiplicative error models. We demonstrate that these tests are useful for unifying existing parametric tests, correcting the estimation effect ignored by some popular tests, and generating new tests for ACD models. Therefore, they can be applied to evaluate ACD models in a more complete way. This study also includes a Monte Carlo simulation and an empirical example to assess the performance of these tests. (JEL: C52, G15) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: firstname.lastname@example.org, Oxford University Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Society for Financial Econometrics in its journal Journal of Financial Econometrics.
Volume (Year): 8 (2010)
Issue (Month): 3 (Summer)
Contact details of provider:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Fax: 01865 267 985
Web page: http://jfec.oxfordjournals.org/
More information through EDIRC
Find related papers by JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.