Semiparametric Duration Models
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References listed on IDEAS
- Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.
- Christian Gouriéroux & Joann Jasiak, 2002.
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- Christian Gourieroux & Joanna Jasiak, 1998. "Nonlinear Autocorrelograms : An Application to Intra-Trade Durations," Working Papers 98-41, Center for Research in Economics and Statistics.
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More about this item
Keywordsadaptiveness; durations; one-step improvement; semiparametric efficiency;
- 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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