Semiparametric estimation for financial durations

Juan M. Rodríguez-Poo, David Veredas and Antoni Espasa
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Juan M. Rodríguez-Poo: Niversidad de Cantabria
David Veredas: Universite Libre de Bruxelles (ECARES)
Antoni Espasa: Universidad Carlos III de Madrid

A chapter in High Frequency Financial Econometrics, 2008, pp 225-251 from Springer

Abstract: We propose a semiparametric model for the analysis of time series of durations that show autocorrelation and deterministic patterns. Estimation rests on generalized profile likelihood, which allows for joint estimation of the parametric—anACD 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.

Keywords: Generalized profile likelihood; ACD model; Seasonality (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:stecpp:978-3-7908-1992-2_10

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DOI: 10.1007/978-3-7908-1992-2_10

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