Recently Martins-Filho and Yao (J Multivar Anal 100:309–333, <CitationRef CitationID="CR7">2009</CitationRef>) have proposed a two-step estimator of nonparametric regression function with parametric error covariance and demonstrate that it is more efficient than the usual LLE. In the present paper we demonstrate that MY’s estimator...</citationref>

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...

This paper develops the approximate nite-sample bias of the ordinary least squares or quasi maximum likelihood estimator of the mean reversion parameter in continuous-time Levy processes. For the special case of Gaussian processes, our results reduce to those of Tang and Chen (2009) (when the...

This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in continuous-time Lévy processes. Several cases are considered, depending on whether the long-run mean is known or unknown and whether the initial condition is fixed or random. The...