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Editor's introduction: recent developments in high frequency financial econometrics Read chapter Read first chapter

2008 | OriginalPaper | Chapter

Semiparametric estimation for financial durations

Authors : Juan M. Rodríguez-Poo, David Veredas, Antoni Espasa

Published in: High Frequency Financial Econometrics

Publisher: Physica-Verlag HD

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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.

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previous chapter The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market
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Metadata
Title
Semiparametric estimation for financial durations
Authors
Juan M. Rodríguez-Poo
David Veredas
Antoni Espasa
Copyright Year
2008
Publisher
Physica-Verlag HD
Book
High Frequency Financial Econometrics

Print ISBN: 978-3-7908-1991-5

Electronic ISBN: 978-3-7908-1992-2

Copyright Year: 2008

DOI
https://doi.org/10.1007/978-3-7908-1992-2_10