Nonparametric specification tests for conditional duration models

Detalhes bibliográficos
Autor(a) principal: Fernandes, Marcelo
Data de Publicação: 2003
Outros Autores: Grammig, Joachim
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/411
Resumo: This paper deals with the testing of autoregressive conditional duration (ACD) models by gauging the distance between the parametric density and hazard rate functions implied by the duration process and their non-parametric estimates. We derive the asymptotic justification using the functional delta method for fixed and gamma kernels, and then investigate the finite-sample properties through Monte Carlo simulations. Although our tests display some size distortion, bootstrapping suffices to correct the size without compromising their excellent power. We show the practical usefulness of such testing procedures for the estimation of intraday volatility patterns.
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spelling Fernandes, MarceloGrammig, JoachimEscolas::EPGEFGV2008-05-13T15:23:42Z2008-05-13T15:23:42Z2003-10-060104-8910http://hdl.handle.net/10438/411This paper deals with the testing of autoregressive conditional duration (ACD) models by gauging the distance between the parametric density and hazard rate functions implied by the duration process and their non-parametric estimates. We derive the asymptotic justification using the functional delta method for fixed and gamma kernels, and then investigate the finite-sample properties through Monte Carlo simulations. Although our tests display some size distortion, bootstrapping suffices to correct the size without compromising their excellent power. We show the practical usefulness of such testing procedures for the estimation of intraday volatility patterns.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;502Duration modelsGamma kernelHazard rateSpecification testingEconomiaEconomiaMonte Carlo, Método deNonparametric specification tests for conditional duration modelsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL1394.pdfapplication/pdf1135511https://repositorio.fgv.br/bitstreams/c3a50160-07a4-45d3-b20c-f85963444f3f/downloada7f6221cf6c906ef6df4e3ecd0309a81MD51TEXT1394.pdf.txt1394.pdf.txtExtracted texttext/plain88686https://repositorio.fgv.br/bitstreams/94fa9fe0-0024-410d-b2fa-eb066cbc4a6f/download136edb2ff71ccbbd667f834a88457886MD56THUMBNAIL1394.pdf.jpg1394.pdf.jpgGenerated Thumbnailimage/jpeg3292https://repositorio.fgv.br/bitstreams/949ed0d8-e69d-469e-a5a2-1b9ef5c27d82/downloade13c4844b1b0af41cdabdf937e50dc3bMD5710438/4112023-11-09 16:21:12.802open.accessoai:repositorio.fgv.br:10438/411https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T16:21:12Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Nonparametric specification tests for conditional duration models
title Nonparametric specification tests for conditional duration models
spellingShingle Nonparametric specification tests for conditional duration models
Fernandes, Marcelo
Duration models
Gamma kernel
Hazard rate
Specification testing
Economia
Economia
Monte Carlo, Método de
title_short Nonparametric specification tests for conditional duration models
title_full Nonparametric specification tests for conditional duration models
title_fullStr Nonparametric specification tests for conditional duration models
title_full_unstemmed Nonparametric specification tests for conditional duration models
title_sort Nonparametric specification tests for conditional duration models
author Fernandes, Marcelo
author_facet Fernandes, Marcelo
Grammig, Joachim
author_role author
author2 Grammig, Joachim
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Fernandes, Marcelo
Grammig, Joachim
dc.subject.eng.fl_str_mv Duration models
Gamma kernel
Hazard rate
Specification testing
topic Duration models
Gamma kernel
Hazard rate
Specification testing
Economia
Economia
Monte Carlo, Método de
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Economia
Monte Carlo, Método de
description This paper deals with the testing of autoregressive conditional duration (ACD) models by gauging the distance between the parametric density and hazard rate functions implied by the duration process and their non-parametric estimates. We derive the asymptotic justification using the functional delta method for fixed and gamma kernels, and then investigate the finite-sample properties through Monte Carlo simulations. Although our tests display some size distortion, bootstrapping suffices to correct the size without compromising their excellent power. We show the practical usefulness of such testing procedures for the estimation of intraday volatility patterns.
publishDate 2003
dc.date.issued.fl_str_mv 2003-10-06
dc.date.accessioned.fl_str_mv 2008-05-13T15:23:42Z
dc.date.available.fl_str_mv 2008-05-13T15:23:42Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/411
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/411
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;502
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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