[en] We propose a fully nonparametric approach to the analysis of the Autocorrelated Conditional Duration (ACD) process applied to durations between financial events. We use a recursive algorithm to estimate the nonparametric specification. In a Monte Carlo experiment, we analyse its forecasting performance and compare it with a correctly and a mis-specified parametric estimator. On a real dataset, the nonparametric estimator seems to mildly overperform in terms of predictive power. The nonparametric analysis can also provide guidance on the choice between alternative parametric specifications. In particular, once intraday seasonality is directly modelled in the conditional duration function, the nonparametric approach provides insights into the time-varying nature of the dynamics in the model that the standard procedures of deseasonalization may lead one to overlook.
Disciplines :
Méthodes quantitatives en économie & gestion
Auteur, co-auteur :
COSMA, Antonio ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA)
Galli, Fausto; Università di Salerno
Co-auteurs externes :
yes
Langue du document :
Anglais
Titre :
A nonparametric ACD model
Date de publication/diffusion :
juin 2019
Titre de l'ouvrage principal :
Financial Mathematics, Volatility and Covariance Modelling
Auteur, co-auteur :
Chevalier, Julien
Goutte, Stephane
Guerreiro, David
Saglio, Sophie
Sanhaji, Bilel
Maison d'édition :
Routledge, Taylor \& Francis, London, Royaume-Uni
ISBN/EAN :
9781315162737
Collection et n° de collection :
Routledge Advances in Applied Financial Economics; 2