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Full-Text Articles in Physical Sciences and Mathematics
A Semiparametric Approach To A Nonlinear Acd Model, Pipat Wongsaart, Jiti Gao, David E. Allen
A Semiparametric Approach To A Nonlinear Acd Model, Pipat Wongsaart, Jiti Gao, David E. Allen
Research outputs pre 2011
We introduce in this paper a new semiparametric approach to a nonlinear ACD model, namely the Semiparametric ACD (SEMI-ACD) model. This new model is more flexible in the sense that the data are allowed to speak for themselves, without a hypothetical assumption being imposed arbitrarily on its key component. Moreover, it enables a much more thorough examination of the intertemporal importance of the conditional duration on the ACD process. Our experimental analysis suggests that the new model possesses a sound asymptotic character, while its performance is also robust across data generating processes and assumptions about the conditional distribution of the …
Fitting Weibull Acd Models To High Frequency Transactions Data : A Semi-Parametric Approach Based On Estimating Functions, Kok Haur Ng, David E. Allen, Shelton Peiris
Fitting Weibull Acd Models To High Frequency Transactions Data : A Semi-Parametric Approach Based On Estimating Functions, Kok Haur Ng, David E. Allen, Shelton Peiris
Research outputs pre 2011
Autoregressive conditional duration (ACD) models play an important role in financial modeling. This paper considers the estimation of the Weibull ACD model using a semiparametric approach based on the theory of estimating functions (EF). We apply the EF and the maximum likelihood (ML) methods to a data set given in Tsay (2003, p203) to compare these two methods. It is shown that the EF approach is easier to apply in practice and gives better estimates than the MLE. Results show that the EF approach is compatible with the ML method in parameter estimation. Furthermore, the computation speed for the EF …