Non-parametric specification tests for conditional duration models
Autor(a) principal: | |
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Data de Publicação: | 2000 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12180 |
Resumo: | This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard rate functions. More precisely, we foeus on the distance between the parametric density (or hazard rate) function implied by the duration process and its non-parametric estimate. Asymptotic justification is derived using the functional delta method for fixed and gamma kernels, whereas finite sample properties are investigated through Monte Carlo simulations. Finally, we show the practical usefulness of such testing procedures by carrying out an empirical assessment of whether autoregressive conditional duration models are appropriate to oIs for modelling price durations of stocks traded at the New York Stock Exchange. |
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Fernandes, MarceloEscolas::EPGEFGV2014-10-22T12:31:44Z2014-10-22T12:31:44Z2000-03-23http://hdl.handle.net/10438/12180This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard rate functions. More precisely, we foeus on the distance between the parametric density (or hazard rate) function implied by the duration process and its non-parametric estimate. Asymptotic justification is derived using the functional delta method for fixed and gamma kernels, whereas finite sample properties are investigated through Monte Carlo simulations. Finally, we show the practical usefulness of such testing procedures by carrying out an empirical assessment of whether autoregressive conditional duration models are appropriate to oIs for modelling price durations of stocks traded at the New York Stock Exchange.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessDurationFunctional delta methodGamma kernelHazard rateEconomiaMonte Carlo, Método deNon-parametric 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:FGVORIGINAL000303139.pdf000303139.pdfapplication/pdf1408160https://repositorio.fgv.br/bitstreams/4fca47db-fdc0-49b4-a81b-aa9308a7993d/downloade2529e448e2718c13a1ca0f8064837f6MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv |
Non-parametric specification tests for conditional duration models |
title |
Non-parametric specification tests for conditional duration models |
spellingShingle |
Non-parametric specification tests for conditional duration models Fernandes, Marcelo Duration Functional delta method Gamma kernel Hazard rate Economia Monte Carlo, Método de |
title_short |
Non-parametric specification tests for conditional duration models |
title_full |
Non-parametric specification tests for conditional duration models |
title_fullStr |
Non-parametric specification tests for conditional duration models |
title_full_unstemmed |
Non-parametric specification tests for conditional duration models |
title_sort |
Non-parametric specification tests for conditional duration models |
author |
Fernandes, Marcelo |
author_facet |
Fernandes, Marcelo |
author_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 |
dc.subject.eng.fl_str_mv |
Duration Functional delta method Gamma kernel Hazard rate |
topic |
Duration Functional delta method Gamma kernel Hazard rate Economia Monte Carlo, Método de |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Monte Carlo, Método de |
description |
This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard rate functions. More precisely, we foeus on the distance between the parametric density (or hazard rate) function implied by the duration process and its non-parametric estimate. Asymptotic justification is derived using the functional delta method for fixed and gamma kernels, whereas finite sample properties are investigated through Monte Carlo simulations. Finally, we show the practical usefulness of such testing procedures by carrying out an empirical assessment of whether autoregressive conditional duration models are appropriate to oIs for modelling price durations of stocks traded at the New York Stock Exchange. |
publishDate |
2000 |
dc.date.issued.fl_str_mv |
2000-03-23 |
dc.date.accessioned.fl_str_mv |
2014-10-22T12:31:44Z |
dc.date.available.fl_str_mv |
2014-10-22T12:31:44Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12180 |
url |
http://hdl.handle.net/10438/12180 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Seminários de pesquisa econômica da EPGE |
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) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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