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Super-Efficient Prediction Based on High-Quality Marker Information

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  • Perch Nielsen, Jens

    (Codan)

Abstract

Nielsen (1999) showed the surprising fact that a nonparametric one-dimensional hazard as a function of time can be estimated n-consistently if a high quality marker is observed. In this paper we show that the hazard relevant for predicting remaining duration time, given the current status of a high quality marker, can be estimated n-consistently if a Markov type property holds for the high quality marker.

Suggested Citation

  • Perch Nielsen, Jens, 2000. "Super-Efficient Prediction Based on High-Quality Marker Information," Finance Working Papers 00-5, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    • Handle: RePEc:hhb:aarfin:2000_005
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    File URL: http://www.hha.dk/fin/finance/RESEARCH/D00_5.PDF
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    References listed on IDEAS

    as
    1. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
    2. Oliver LINTON, "undated". "Kernel estimation in a nonparametric marker dependent Hazard Model," Statistic und Oekonometrie 9313, Humboldt Universitaet Berlin.
    3. Shen, Pu & Starr, Ross M., 1998. "Liquidity of the treasury bill market and the term structure of interest rates," Journal of Economics and Business, Elsevier, vol. 50(5), pages 401-417, September.
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