Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/176018 
Year of Publication: 
2006
Series/Report no.: 
Texto para discussão No. 535
Publisher: 
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia, Rio de Janeiro
Abstract: 
In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient autoregressive conditional duration (FC-ACD) model relies on a smooth-transition autoregressive specification. The motivation lies on the fact that the latter yields a universal approximation if one lets the number of regimes grows without bound. After establishing that the sufficient conditions for strict stationarity do not exclude explosive regimes, we address model identifiability as well as the existence, consistency, and asymptotic normality of the quasi-maximum likelihood (QML) estimator for the FC-ACD model with a fixed number of regimes. In addition, we also discuss how to consistently estimate using a sieve approach a semiparametric variant of the FC-ACD model that takes the number of regimes to infinity. An empirical illustration indicates that our functional coefficient model is flexible enough to model IBM price durations.
Subjects: 
explosive regimes
quasi-maximum likelihood
sieve estimation
smooth transition
stationarity.
JEL: 
C22
C41
Document Type: 
Working Paper

Files in This Item:
File
Size
719.53 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.