Semiparametric estimation for financial durations
Rodríguez-Poo, Juan M Veredas, David Espasa, Antoni
Rodríguez-Poo, Juan M
Veredas, David
Espasa, Antoni
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2008
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High Frequency Financial Econometrics
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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.
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49 Mathematical Sciences, 38 Economics, 4905 Statistics, 3802 Econometrics