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...

We propose three nonparametric tests for the null of no event-induced shifts in the distribution of stock returns. One test is the natural extension of the popular Corrado rank test to the case of cross-sectionally dependent returns, while the other two are based on new ideas. Unfortunately only...

This article surveys recent developments to estimate and test continuous-time models in finance using discrete observations on the underlying asset price or derivative securities' prices. Both parametric and nonparametric methods are described. All these methods share a common focus on the...