This paper considers the class of p-dimensional elliptic distributions (p = 1) satisfying the consistency property (Kano, 1994) and within this general framework presents a two-stage semiparametric estimator for the Lebesgue density based on Gaussian mixture sieves. Under the online...

This paper provides theoretical properties and Monte-Carlo studies of a stochastic conditional duration model with mixture-of-normal error distributions an effcient estimation approach via a continuous empirical characteristic function. The empirical version of this paper is studied in Xu,...