Aknouche, A, Almohaimeed, B and Dimitrakopoulos, S orcid.org/0000-0002-0043-180X (2022) Periodic autoregressive conditional duration. Journal of Time Series Analysis, 43 (1). pp. 5-29. ISSN 0143-9782
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.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © 2021 John Wiley & Sons Ltd. This is the peer reviewed version of the following article: Aknouche, A., Almohaimeed, B. and Dimitrakopoulos, S. (2021), Periodic autoregressive conditional duration. J. Time Ser. Anal., which has been published in final form at https://doi.org/10.1111/jtsa.12588. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. |
Keywords: | Positive time series; autoregressive conditional duration; periodic time-varying models; multiplicative error models; exponential QMLE; two-stage Gamma QMLE. MOS subject classification: 62F05, 62F12, 62M10, 62M20, 91B84 |
Dates: |
|
Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Economics Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 22 Mar 2021 12:45 |
Last Modified: | 06 Jun 2024 10:34 |
Published Version: | https://onlinelibrary.wiley.com/doi/abs/10.1111/jt... |
Status: | Published |
Publisher: | Wiley |
Identification Number: | 10.1111/jtsa.12588 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:172378 |