On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations

DOI10.1080/00949655.2015.1107908OpenAlexW2397514473MaRDI QIDQ5222480

Sarah Forstinger, Christian Peitz, Yuanhua Feng

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://groups.uni-paderborn.de/fiwi/RePEc/pdf/wpaper/WP66.pdf

zbMATH Keywords

simulationlocal linear estimatorcubic splineautoregressive conditional durationdiurnal duration patternsiterative plug-in

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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