The Nonparametric Additive ACD Model and the Application in the Stock Market of China

摘要：

We have proposed the nonparametric additive ACD model and carried on the demonstration analysis based on the simulation sample and the China Stock markets price duration sample to the model in the paper. The function form of the conditional expectation and the distribution form of the stochastic error term of the nonparametric additive ACD model have fewer limits than the parametric ACD model. So the model will not make wrong conclusion because of the wrong model form hypothesis just like parametric ACD model. This point may obtain the confirmation in our demonstration analysis. Compared with the parametric ACD model, the nonparametric additive ACD model is more nimble.

关键词： the Nonparametric Additive ACD Model Nonparametric Estimation The Model Form Specification

作者: DAI Lina

作者单位: School of Business, Zhengzhou University, Zhengzhou, P.R.China, 450001

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-8

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）