Wongsaart, Pipat; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2011
A crucially important advantage of the semiparametric regression approach to the nonlinear autoregressive conditional duration (ACD) model developed in Wongsaart et al. (2011), i.e. the so-called Semiparametric ACD (SEMI-ACD) model, is the fact that its estimation method does not require a...
