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A Semiparametric Conditional Duration Model

Author

Listed:
  • Aman Ullah

    (Department of Economics, University of California Riverside)

  • Mardi Dungey

    (University of Tasmania, Australia)

  • Xiangdong Long

    (Bank of Communications Schroder Fund Management Co. Ltd)

  • Yun Wang

    (University of International Business and Economics, China)

Abstract

We propose a new semiparametric autoregressive duration (SACD) model, which incorporates the parametric and nonparametric estimators of the conditional duration in a multiplicative way. Asymptotic properties for this combined estimator are presented. The empirical application to the transaction duration of the US 2-Year Treasury note shows the outperformance of our SACD models over parametric ACD models.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Aman Ullah & Mardi Dungey & Xiangdong Long & Yun Wang, 2014. "A Semiparametric Conditional Duration Model," Working Papers 201408, University of California at Riverside, Department of Economics.
    • Handle: RePEc:ucr:wpaper:201408
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    References listed on IDEAS

    as
    1. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
    2. 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.
    3. Mardi Dungey & Olan Henry & Michael Mckenzie, 2013. "Modeling trade duration in U.S. Treasury markets," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1431-1442, September.
    4. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques.
    5. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609.
    6. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    7. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
    8. Lee, Sang-Won & Hansen, Bruce E., 1994. "Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, vol. 10(1), pages 29-52, March.
    9. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
    10. Long, Xiangdong & Su, Liangjun & Ullah, Aman, 2011. "Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 109-125.
    11. Carlos Martins-Filho & Santosh Mishra & Aman Ullah, 2008. "A Class of Improved Parametrically Guided Nonparametric Regression Estimators," Econometric Reviews, Taylor & Francis Journals, vol. 27(4-6), pages 542-573.
    12. 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.
    13. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, September.
    14. Lumsdaine, Robin L, 1996. "Consistency and Asymptotic Normality of the Quasi-maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models," Econometrica, Econometric Society, vol. 64(3), pages 575-596, May.
    15. Mishra, Santosh & Su, Liangjun & Ullah, Aman, 2010. "Semiparametric Estimator of Time Series Conditional Variance," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 256-274.
    16. repec:adr:anecst:y:2000:i:60:p:05 is not listed on IDEAS
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    More about this item

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G0 - Financial Economics - - General

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