Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/176018 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Texto para discussão No. 535
Verlag: 
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia, Rio de Janeiro
Zusammenfassung: 
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.
Schlagwörter: 
explosive regimes
quasi-maximum likelihood
sieve estimation
smooth transition
stationarity.
JEL: 
C22
C41
Dokumentart: 
Working Paper

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