Data-driven estimation of diurnal duration patterns
AbstractThis paper proposes a local linear estimator for diurnal patterns of transaction durations under a special nonparametric regression model, whose asymptotics are different to any known results. An iterative plug-in algorithm is developed for selecting the bandwidth. The ACD model is then applied to analyze the standardized durations. Data examples show that the proposals work well in practice.
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Bibliographic InfoPaper provided by University of Paderborn, CIE Center for International Economics in its series Working Papers with number 44.
Length: 7 pages
Date of creation: Dec 2011
Date of revision:
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Web page: http://www.uni-paderborn.de/fakultaeten/wiwi/department4/cie/
More information through EDIRC
Autoregressive conditional duration; diurnal duration patterns; local linear estimator; bandwidth selection; iterative plug-in.;
Find related papers by 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
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
- repec:adr:anecst:y:2000:i:59-60:p:06 is not listed on IDEAS
- Jan Beran & Yuanhua.Feng, 2001. "Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties," CoFE Discussion Paper 01-11, Center of Finance and Econometrics, University of Konstanz.
- Yuanhua Feng & Sarah Forstinger & Christian Peitz, 2013. "On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations," Working Papers 66, University of Paderborn, CIE Center for International Economics.
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