Dungey, Mardi; Long, Xiangdong; Ullah, Aman; Wang, Yun - In: Economics Letters 124 (2014) 3, pp. 362-366
We propose a new semiparametric autoregressive duration (SACD) model, which incorporates the parametric and nonparametric estimators of the conditional duration in a multiplicative way. Asymptotic properties for this combined estimator are presented. The empirical application to the transaction...
