The Semiparametric ACD Model and the Application Research in the Stock Market of China

摘要：

We have proposed the semiparametric ACD model and carried on the demonstration analysis based on the simulation sample and the China Stock markets adjusted 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 semiparametric 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. Comparing with the nonparametric ACD model, semiparametric ACD model can estimate the parameter, which adds the explaining ability of the model. Semiparametric ACD model can estimate the graph of each additive component, which has some help to specify the form of parametric ACD model.

关键词： The Semiparametric ACD Model Nonparametric Estimation The Model form Specification

作者: DAI Lina

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

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）