A Nonparametric Acd Model
CORE Discussion Paper No. 2006/67
23 Pages Posted: 14 Nov 2006
Date Written: August 2006
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
JEL Classification: C14, C41, G10
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Paper statistics
Recommended Papers
-
By Luc Bauwens and J. V. K. Rombouts
-
Time-Varying Arrival Rates of Informed and Uninformed Trades
By David Easley, Liuren Wu, ...
-
A Model for the Federal Funds Rate Target
By James D. Hamilton and Oscar Jorda
-
A Model for the Federal Funds Rate Target
By James D. Hamilton and Oscar Jorda
-
The Logarithmic Acd Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
By Luc Bauwens and Pierre Giot
-
By Luc Bauwens and David Veredas
-
Identifying Bull and Bear Markets in Stock Returns
By John M. Maheu and Thomas H. Mccurdy