A nonparametric ACD model
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- Antonio Cosma & Fausto Galli, 2006. "A Nonparametric ACD Model," LSF Research Working Paper Series 06-10, Luxembourg School of Finance, University of Luxembourg.
- Cosma, Antonio & Galli, Fausto, 2014. "A non parametric ACD model," MPRA Paper 53990, University Library of Munich, Germany.
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Cited by:
- Patrick W. Saart & Jiti Gao & David E. Allen, 2015. "Semiparametric Autoregressive Conditional Duration Model: Theory and Practice," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 849-881, December.
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More about this item
Keywords
ACD; trade durations; local-linear;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
Statistics
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