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Periodic autoregressive conditional duration

Author

Listed:
  • Aknouche, Abdelhakim
  • Almohaimeed, Bader
  • Dimitrakopoulos, Stefanos

Abstract

We propose an autoregressive conditional duration (ACD) model with periodic time-varying parameters and multiplicative error form. We name this model periodic autoregressive conditional duration (PACD). First, we study the stability properties and the moment structures of it. Second, we estimate the model parameters, using (profile and two-stage) Gamma quasi-maximum likelihood estimates (QMLEs), the asymptotic properties of which are examined under general regularity conditions. Our estimation method encompasses the exponential QMLE, as a particular case. The proposed methodology is illustrated with simulated data and two empirical applications on forecasting Bitcoin trading volume and realized volatility. We found that the PACD produces better in-sample and out-of-sample forecasts than the standard ACD.

Suggested Citation

  • Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2020. "Periodic autoregressive conditional duration," MPRA Paper 101696, University Library of Munich, Germany, revised 08 Jul 2020.
    • Handle: RePEc:pra:mprapa:101696
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    File URL: https://mpra.ub.uni-muenchen.de/106785/8/MPRA_paper_106785.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Positive time series; autoregressive conditional duration; periodic time-varying models; multiplicative error models; exponential QMLE; two-stage Gamma QMLE.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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