Duration Time Series Models with Proportional Hazard
The analysis of liquidity in financial markets is generally performed by means of the dynamics of the observed intertrade durations (possibly weighted by price or volume). Various dynamic models for duration data have been considered in the literature, such as the Autoregressive Conditional Duration (ACD) model. These models are often excessively constrained, introducing, for example, a deterministic link between conditional expectation and variance in the case of the ACD model. Moreover, the stationarity properties and the patterns of the stationary distributions are often unknown. The aim of this article is to solve these difficulties by considering a duration time series satisfying the proportional hazard property. We describe in detail this class of dynamic models, discuss its various representations and provide the ergodicity conditions. The proportional hazard copula can be specified either parametrically, or nonparametrically. We discuss estimation methods in both contexts, and explain why they are efficient, that is, why they reach the parametric (respectively, nonparametric) efficiency bound. Copyright 2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd.
(This abstract was borrowed from another version of this item.)
|Date of creation:||2002|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 01 41 17 60 81
Web page: http://www.crest.fr
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:2002-21. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Florian Sallaberry)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.