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 market's 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.