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Data-driven estimation of diurnal duration patterns

Yuanhua Feng ()

No 44, Working Papers CIE from Paderborn University, CIE Center for International Economics

Abstract: This paper proposes a local linear estimator for diurnal patterns of transaction durations under a special nonparametric regression model, whose asymptotics are different to any known results. An iterative plug-in algorithm is developed for selecting the bandwidth. The ACD model is then applied to analyze the standardized durations. Data examples show that the proposals work well in practice.

Keywords: Autoregressive conditional duration; diurnal duration patterns; local linear estimator; bandwidth selection; iterative plug-in. (search for similar items in EconPapers)
JEL-codes: C14 C41 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2011-12
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