Download or read book Efficient Estimation of Autoregressive Conditional Duration ACD Models Using Estimating Functions EF written by Kok Haur Ng and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Estimation of Autoregressive Conditional Duration ACD Models Based on Different Error Distributions written by D. Pathmanathan and published by . This book was released on 2010 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Estimation in Nonlinear Autoregressive Time Series Models written by Hira L. Koul and published by . This book was released on 1995 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonparametric Estimation and Testing in Semiparametric Autoregressive Conditional Duration Models written by Pipat Wongsaart and published by . This book was released on 2011 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: The advent of the so-called transaction data in finance has given econometrician the tool to address a variety of issues surrounding the structure of the trading process and/or price discovery in nancial markets. However, transaction data pose a number of unique econometric challenges that do not easily fit into the traditional modeling framework that have been developed so far in the literature. The ultimate goal of this thesis is to establish a novel econometric method of estimating the conditional intensity of the arrival times of financial events. This goal can be broken down into a few research objectives. (1) Firstly, it is to establish a new generation (semiparametric) approach to efficiently model the dynamics of the waiting time between the arrivals of financial events or what is commonly known as duration. (2) Secondly, it is to derive a set of estimators, so that empirical estimates of the density, survival and the baseline intensity functions associated with duration processes can be calculated. (3) Thirdly, it is to develop a novel testing procedure to test the marginal density function of financial durations. While the first and second objectives are discussed in detail in Chapter 2, the third objective is considered in Chapter 3. These semiparametric estimation and nonparametric testing procedure are introduced in conjunction with the detailed theoretical and experimental examinations of their statistical validity. Furthermore, the usefulness and practicability of these methods are illustrated using various datasests from both foreign exchange and international stock markets.

Download or read book Non Gaussian Autoregressive Type Time Series written by N. Balakrishna and published by Springer Nature. This book was released on 2022-01-27 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together a variety of non-Gaussian autoregressive-type models to analyze time-series data. This book collects and collates most of the available models in the field and provide their probabilistic and inferential properties. This book classifies the stationary time-series models into different groups such as linear stationary models with non-Gaussian innovations, linear stationary models with non-Gaussian marginal distributions, product autoregressive models and minification models. Even though several non-Gaussian time-series models are available in the literature, most of them are focusing on the model structure and the probabilistic properties.

Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

Download or read book Efficient 4 Estimation for Autoregressive Models with Conditional Heterogeneity written by and published by . This book was released on 1999 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Estimation for Periodic Autoregressive Coefficients Via Residuals written by L. Tang and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A two-step estimation method is proposed for periodic autoregressive parameters via residuals when the observations contain trend and periodic autoregressive time series. The oracle efficiency of the proposed Yule-Walker-type estimator is established. The performance is illustrated by simulation studies and real data analysis.

Download or read book Prediction Interval for Autoregressive Time Series Via Oracally Efficient Estimation of Multi Step Ahead Innovation Distribution Function written by Juanjuan Kong and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A kernel distribution estimator (KDE) is proposed for multi-step-ahead prediction error distribution of autoregressive time series, based on prediction residuals. Under general assumptions, the KDE is proved to be oracally efficient as the infeasible KDE and the empirical cumulative distribution function (cdf) based on unobserved prediction errors. Quantile estimator is obtained from the oracally efficient KDE, and prediction interval for multi-step-ahead future observation is constructed using the estimated quantiles and shown to achieve asymptotically the nominal confidence levels. Simulation examples corroborate the asymptotic theory.

Download or read book Testing the Conditional Mean Function of Autoregressive Conditional Duration Models written by Nikolaus Hautsch and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Robust and Efficient Estimation of Treatment Effects in Experimental and Non experimental Settings written by Akanksha Negi and published by . This book was released on 2020 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Detecting Misspecifications in Autoregressive Conditional Duration Models and Non Negative Time Series Processes written by Yongmiao Hong and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a general theory to test correct specification of multiplicative error models of non-negative time-series processes, which include the popular autoregressive conditional duration (ACD) models. Both linear and nonlinear conditional expectation models are covered, and standardized innovations can have time-varying conditional dispersion and higher-order conditional moments of unknown form. No specific estimation method is required, and the tests have a convenient null asymptotic N(0,1) distribution. To reduce the impact of parameter estimation uncertainty in finite samples, we adopt Wooldridge's (1990a) device to our context and justify its validity. Simulation studies show that in the context of testing ACD models, finite sample correction gives better sizes in finite samples and are robust to parameter estimation uncertainty. And, it is important to take into account time-varying conditional dispersion and higher-order conditional moments in standardized innovations; failure to do so can cause strong overrejection of a correctly specified ACD model. The proposed tests have reasonable power against a variety of popular linear and nonlinear ACD alternatives.

Download or read book Efficient IV Estimation for Autoregressive Models with Conditional Heterogeneity written by Guido M. Kuersteiner and published by . This book was released on 1998 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Risk Management and Modeling written by Constantin Zopounidis and published by Springer Nature. This book was released on 2021-09-13 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk is the main source of uncertainty for investors, debtholders, corporate managers and other stakeholders. For all these actors, it is vital to focus on identifying and managing risk before making decisions. The success of their businesses depends on the relevance of their decisions and consequently, on their ability to manage and deal with the different types of risk. Accordingly, the main objective of this book is to promote scientific research in the different areas of risk management, aiming at being transversal and dealing with different aspects of risk management related to corporate finance as well as market finance. Thus, this book should provide useful insights for academics as well as professionals to better understand and assess the different types of risk.

Download or read book The Lognormal Autoregressive Conditional Duration LNACD Model and a Comparison with an Alternative ACD Models written by Yongdeng Xu and published by . This book was released on 2014 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Engle and Russell (1998) introduce the autoregressive conditional duration (ACD) model to model the dynamics of financial duration. It is recognized that the ACD model can be specified in ARMA form. We show that as long as the innovations of the ACD model follows a lognormal distribution, the equivalent ARMA model will be Gaussian distributed. Motivated by this fact, we develop a lognormal autoregressive conditional duration (LNACD) model. The LNACD model permits a humped-shaped hazard function with one free shape parameter, which has a computational advantage compared to the existing ACD specification in the literature. We compare the performance of the LNACD model with alternative specification of ACD model. The empirical results show that the LNACD model is always superior to Exponential and Weibull ACD models and its performance is similar to the Burr and Generalized Gamma ACD models.

Download or read book Efficient IV Estimation for Autoregressive Models with Conditional Heterogeneity written by Guido Kuersteiner and published by . This book was released on 1999 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Estimation of Parameters for Non Gaussian Autoregressive Processes written by Debasis Sengupta and published by . This book was released on 1986 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of estimating the parameters of a non-Gaussian autoregressive process is addressed. Departure of the driving noise from Gaussianity is shown to have the potential of improving the accuracy of the estimation of the parameters. While the standard linear prediction techniques are computationally efficient, they show a substantial loss of efficiency when applied to non-Gaussian processes. A maximum likelihood estimator is proposed for more precise estimation of the parameters of these processes coupled with a realistic non-Gaussian model for the driving noise. The performance is compared to that of the linear prediction estimator and as expected the maximum likelihood estimator displays a marked improvement.