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Data-driven estimation of diurnal duration patterns

Author

Listed:
  • Yuanhua Feng

    (University of Paderborn)

Abstract

This 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.

Suggested Citation

  • Yuanhua Feng, 2011. "Data-driven estimation of diurnal duration patterns," Working Papers CIE 44, Paderborn University, CIE Center for International Economics.
    • Handle: RePEc:pdn:ciepap:44
    as

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    File URL: http://groups.uni-paderborn.de/wp-wiwi/RePEc/pdf/ciepap/WP44.pdf
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    References listed on IDEAS

    as
    1. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annals of Economics and Statistics, GENES, issue 60, pages 117-149.
    2. repec:adr:anecst:y:2000:i:60:p:05 is not listed on IDEAS
    3. 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.
    4. Beran, Jan & Feng, Yuanhua & Ocker, Dirk, 1999. "SEMIFAR models," Technical Reports 1999,03, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Yuanhua Feng & Sarah Forstinger & Christian Peitz, 2013. "On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations," Working Papers CIE 66, Paderborn University, CIE Center for International Economics.

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    More about this item

    Keywords

    Autoregressive conditional duration; diurnal duration patterns; local linear estimator; bandwidth selection; iterative plug-in.;
    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

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