Generalized moment tests for autoregressive conditional duration models

Journal of Financial Econometrics

Volumn 8, Issue 3, 2010, Pages 345-391

  Chen, Yi Ting ^a   Hsieh, Chih Sheng ^b  

^a INSTITUTE OF ECONOMICS   (Taiwan)

^b OHIO STATE UNIVERSITY   (United States)

Author keywords

Autoregressive conditional duration model; Model evaluation; Moment test; Multiplicative error model

Indexed keywords

EID: 77954373370     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbq016     Document Type: Article

References (57)

1. Andrews, D. W. K. 1994." Empirical Process Methods in Econometrics." In R. F. Engle and D. L. McFadden (eds.), Handbook of Econometrics, vol. 4. Amsterdam: Elsevier.
2. Allen, D., Z. Lazarov, M. McAleer, and S. Peiris. 2009, Comparison of Alternative ACD Models via Density and Interval Forecasts: Evidence from the Australian Stock Market. Mathematics and Computers in Simulation 79: 2535-2555.
3. Bauwens, L. 2006, Econometric Analysis of Intra-daily Activity on the Tokyo Stock Exchange. Monetary and Economic Studies 24: 1-23.
4. Bauwens, L. and P. Giot. 2000, The Logarithm ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks. Annales d'Économie et de Statistique. 60: 117-150.
5. Bauwens, L. and D. Veredas. 2004, The Stochastic Conditional Duration Model: A Latent Variable Model for the Analysis of Financial Durations. Journal of Econometrics 119: 381-412.
6. Bauwens, L., P. Giot, J. Grammig, and D. Veredas. 2004, A Comparison of Financial Duration Models via Density Forecasts. International Journal of Forecasting 20: 589-609.
7. Bauwens, L., S. Laurent, and J. V. K. Rombouts. 2006, Multivariate GARCH Models: A Survey. Journal of Applied Econometrics 21: 79-109.
8. Berkes, I., L. Horváth, and P. Kokoszka. 2003, Asymptotics for GARCH Squared Residual Correlations. Econometric Theory 19: 515-540.
9. Bollerslev, T. 1986, Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 31: 307-327.
10. Chen, Y.-T. 2008, A Unified Approach to Standardized-Residuals-Based Correlation Tests for GARCH-Type Models. Journal of Applied Econometrics 23: 111-133.
11. Chen, Y.-T., R. Y. Chou, and C.-M. Kuan. 2000, Testing Time Reversibility without Moment Restrictions. Journal of Econometrics 95: 199-218.
12. Chou, R. 2005, Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model. Journal of Money, Credit, and Banking 37: 561-582.
13. Davidson, J. 1994, Stochastic Limit Theory. Oxford: Oxford University Press.
14. Davidson, R. and J. G. MacKinnon. 1993, Estimation and Inference in Econometrics. Oxford: Oxford University Press.
15. De Luca, G. and G. M. Gallo. 2004, Mixture Processes for Financial Intradaily Durations. Studies in Nonlinear Dynamics & Econometrics 8: 1-12.
16. De Luca, G. and G. M. Gallo. 2008, Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. Econometric Reviews 28: 102-120.
17. Diebold, F. X., T. A. Gunther, and A. S. Tay. 1998, Evaluating Density Forecasts with Applications to Financial Risk Management. International Economic Review 39: 863-883.
18. Drost, F. C. and B. J. M. Werker. 2004, Semiparametric Duration Models. Journal of Business & Economic Statistics 22: 40-50.
19. Duan, J.-C. 1997, Augmented GARCH (p,q) Process and Its Diffusion Limit. Journal of Econometrics 79: 97-127.
20. Dufour, A. and R. F. Engle. 2000, "The ACD Model: Predictability of the Time between Consecutive Trades."Working paper, University of Reading.
21. Engle, R. F. 2000, The Econometrics of Ultra-high Frequency Data. Econometrica 68: 1-22.
22. Engle, R. F. 2002, New Frontiers for ARCH Models. Journal of Applied Econometrics 17: 425-446.
23. Engle, R. F. and G.M. Gallo. 2006, AMultiple Indicators Model for Volatility Using Intra-daily Data. Journal of Econometrics 131: 3-27.
24. Engle, R. F. and V. K. Ng. 1993, Measuring and Testing the Impact of News on Volatility. Journal of Finance 48: 1749-1778.
25. Engle, R. F. and J. R. Russell. 1998, Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data. Econometrica 66: 1127-1162.
26. Fernandes, M. and J. Grammig. 2005, Nonparametric Specification Tests for Conditional Duration Models. Journal of Econometrics 127: 35-68.
27. Fernandes,M. and J. Grammig. 2006, A Family of Autoregressive Conditional Duration Models. Journal of Econometrics 130: 1-23.
28. Ghysels, E., C. Gouriéroux, and J. Jasiak. 2004, Stochastic Volatility Durations. Journal of Econometrics 119: 413-435.
29. Giot, P. 2000, Time Transformations, Intraday Data and Volatility Models. Journal of Computational Finance 4: 31-62.
30. Gouriéroux, C. and J. Jasiak. 2006, Autoregressive Gamma Processes. Journal of Forecasting 25: 129-152.
31. Grammig, J. and K.-O. Maurer. 2000, Non-monotonic Hazard Functions and the Autoregressive Conditional Duration Model. Econometrics Journal 3: 16-38.
32. Hentschel, L. 1995, All in the Family Nesting Symmetric and Asymmetric GARCH Models. Journal of Financial Economics 39: 71-104.
33. Hautsch, N. 2006, "Testing the Conditional Mean Function of Autoregressive Conditional Duration Models." Working paper, University of Copenhagen.
34. Hong, Y. and T.-H. Lee. 2003, Diagnostic Checking for the Adequacy of Nonlinear Time Series Models. Econometric Theory 19: 1065-1121.
35. Hong, Y. and Y.-J. Lee. 2007, "Detecting Misspecifications in Autoregressive Conditional Duration Models." Working paper, Cornell University.
36. Lancaster, T. 1990, The Econometric Analysis of Transition Data. New York: Cambridge University Press.
37. Li,W. K. and T. K. Mak. 1994, On the Squared Residual Autocorrelations inNonlinear Time Series with Conditional Heteroskedasticity. Journal of Time Series Analysis 15: 627-636.
38. Li,W. K. and P. L. H. Yu. 2003, On the Residual Autocorrelation of the Autoregressive Conditional Duration Model. Economics Letters 79: 169-175.
39. Ljung, G. M. and G. E. P. Box. 1978, On a Measure of Lack of Fit in Time Series Models. Biometrika 65: 297-303.
40. Lundbergh S. and T. Teräsvirta. 2002, Evaluating GARCH Models. Journal of Econometrics 110: 417-435.
41. Lunde, A. 1999, "A Generalized Gamma Autoregressive Conditional Duration Model." Working paper, Aalborg University.
42. Manganelli, S. 2005, Duration, Volume and Volatility Impact of Trades. Journal of Financial Markets 8: 377-399.
43. McLeod, A. I. andW. K. Li. 1983, Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations. Journal of Time Series Analysis 4: 269-273.
44. Meitz, M. and T. Teräsvirta. 2006, Evaluating Models of Autoregressive Conditional Duration. Journal of Business & Economic Statistics 24: 104-124.
45. Newey, W. K. 1985, Maximum Likelihood Specification Testing and Conditional Moment Tests. Econometrica 53: 1047-1070.
46. Newey, W. K. and D. L. McFadden. 1994, "Large Sample Estimation and Hypothesis Testing." In R. F. Engle and D. L. McFadden (eds.), Handbook of Econometrics, vol. 4. Amsterdam: Elsevier.
47. Pacurar, M. 2008, Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature. Journal of Economic Surveys 22: 711-751.
48. Phillips, P. C. B. 1991, A Shortcut to LAD Estimator Asymptotics. Econometric Theory 7: 450-463.
49. Prigent, J.-L., O. Renault, and O. Scaillet. 2001, An Autoregressive Conditional Binomial Option Pricing Model. In H. Geman, D. Madan, S. Pliska, and T. Vorst (eds.), Selected Papers from the First World Congress of the Bachelier Finance Society, Heidelberg: Springer.
50. Stacy, E. W. and G. A. Mihram. 1965, Parameter Estimation for a Generalized Gamma Distribution. Technometrics 7: 349-358.
51. Tauchen, G. 1985, Diagnostic Testing and Evaluation of Maximum Likelihood Models. Journal of Econometrics 30: 415-443.
52. Tsay, R. S. 2002, Analysis of Financial Time Series. New York: John Wiley
53. White, H. 1994, Estimation, Inference and Specification Analysis. New York: Cambridge University Press.
54. Wong, H. and S. Ling. 2005, Mixed Portmanteau Tests for Time-Series Models. Journal of Time Series Analysis 26: 569-579.
55. Wooldridge, J. M. 1990, A Unified Approach to Robust, Regression-Based Specification Tests. Econometric Theory 6: 17-43.
56. Wooldridge, J. M. 1991, On the Application of Robust, Regression-Based Diagnostics to Models of ConditionalMeans and Conditional Variances. Journal of Econometrics 47: 5-46.
57. Zhang, M. Y., J. R. Russell, and R. S. Tsay. 2001, A Nonlinear Autoregressive Conditional Duration Model with Application to Financial Transaction Data. Journal of Econometrics 104: 179-207.