A Nonparametric ACD Model

Antonio Cosma () and Fausto Galli
Additional contact information
Antonio Cosma: CREFI-LSF, University of Luxembourg

Working Papers of CREFI-LSF (Centre of Research in Finance - Luxembourg School of Finance) from CREFI-LSF, University of Luxembourg

Abstract: We carry out a nonparametric analysis of financial durations. We make use of an existing algorithm to describe nonparametrically the dynamics of the process in terms of its lagged realizations and of a latent variable, its conditional mean. The devices needed to effectively apply the algorithm to our dataset are presented. On simulated data, the nonparametric procedure yields better estimates than the ones delivered by an incorrectly specified parametric method. On a real dataset, the nonparametric analysis can convey information on the nature of the data generating process that may not be captured by the parametric specification. In this view, the nonparametric method proposed can be a valuable preliminary analysis able to suggest the choice of a “good” parametric specification, or a complement of a parametric estimation.

Keywords: nonparametric; ACD; trade durations; local-linear. (search for similar items in EconPapers)
JEL-codes: C14 C41 G10 (search for similar items in EconPapers)
Date: 2006

Downloads: (external link)
http://fdef.uni.lu/i ... /4899/file/06-10.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in Working Papers of CREFI-LSF (Centre of Research in Finance - Luxembourg School of Finance) from CREFI-LSF, University of Luxembourg
Contact information at EDIRC.
Series data maintained by Caroline Herfroy ().