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Nonparametric specification tests for conditional duration models

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  • Fernandes, Marcelo
  • Grammig, Joachim

Abstract

This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard functions. More precisely, we focus on the distance between the aprametric density (or hazard rate) function implied by the duration process and its non-parametric estimate.

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Bibliographic Info

Paper provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 502.

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Date of creation: 06 Oct 2003
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Handle: RePEc:fgv:epgewp:502

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