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http://hdl.handle.net/10016/3349
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| Title: | Semiparametric estimation for financial durations |
| Author(s): | Rodríguez-Poo, Juan M.
Veredas, David
Espasa, Antoni [espasa] |
| Publisher: | Springer |
| Issued date: | 2007 |
| Citation: | Bauwens, Luc; Pohlmeier, Winfried; Veredas, David. (ed.). High Frequency financial econometrics. Berlin: Physica-Verlag HD, 2007, p. 225-251 (Studies in Empirical Economics) |
| URI: | http://hdl.handle.net/10016/3349 |
| ISBN: | 978-3-7908-1992-2 |
| DOI: | 10.1007/978-3-7908-1992-2_10 |
| Abstract: | We propose a semiparametric model for the analysis of time series of durations that show autocorrelatins and deterministic patterns. Estimation rests on generalized profile likelihood, which allows for joint estimation of the parametric- an ACD type of model- and nonparametric components, providing consistent and asymptotically normal estimators. It is possible to derive the explicit form for the nonparametric estimator, simplifying estimation to a standard maximum likelihood problem. |
| Review: | PeerReviewed |
| Publisher version: | http://www.springerlink.com/content/nv881u6157pqm8g1/ |
| Keywords: | Generalized profile likelihood
ACD model
Seasonality |
| JEL Classification: | C14
C15
C22
C32 |
| Appears in Collections: | DES - Capítulos de Monografías
Economists Online
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