Publication:
Semiparametric estimation for financial durations

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URI: http://hdl.handle.net/10016/3349
ISBN: 978-3-7908-1992-2
DOI: 10.1007/978-3-7908-1992-2_10
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2007
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Springer
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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.
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Generalized profile likelihood, ACD model, Seasonality
Bibliographic citation
Bauwens, Luc; Pohlmeier, Winfried; Veredas, David. (ed.). High Frequency financial econometrics. Berlin: Physica-Verlag HD, 2007, p. 225-251 (Studies in Empirical Economics)
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