Bayesian inference for the log-symmetric autoregressive conditional duration model
Abstract This paper adapts Hamiltonian Monte Carlo methods for application in log-symmetric autoregressive conditional duration models. These recent models are based on a class of log-symmetric distributions. In this class, it is possible to model both median and skewness of the duration time distri...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Academia Brasileira de Ciências
2021-10-01
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| Series: | Anais da Academia Brasileira de Ciências |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0001-37652021000700305&tlng=en |
| _version_ | 1798021984325468160 |
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| author | JEREMIAS LEÃO RAFAEL PAIXÃO HELTON SAULO THEMIS LEAO |
| author_facet | JEREMIAS LEÃO RAFAEL PAIXÃO HELTON SAULO THEMIS LEAO |
| author_sort | JEREMIAS LEÃO |
| collection | DOAJ |
| description | Abstract This paper adapts Hamiltonian Monte Carlo methods for application in log-symmetric autoregressive conditional duration models. These recent models are based on a class of log-symmetric distributions. In this class, it is possible to model both median and skewness of the duration time distribution. We use the Bayesian approach to estimate the model parameters of some log-symmetric autoregressive conditional duration models and evaluate their performance using a Monte Carlo simulation study. The usefulness of the estimation methodology is demonstrated by analyzing a high frequency financial data set from the German DAX of 2016. |
| first_indexed | 2024-04-11T17:22:19Z |
| format | Article |
| id | doaj.art-66f5e93aa64b44d883bd60ff94706fdf |
| institution | Directory Open Access Journal |
| issn | 1678-2690 |
| language | English |
| last_indexed | 2024-04-11T17:22:19Z |
| publishDate | 2021-10-01 |
| publisher | Academia Brasileira de Ciências |
| record_format | Article |
| series | Anais da Academia Brasileira de Ciências |
| spelling | doaj.art-66f5e93aa64b44d883bd60ff94706fdf2022-12-22T04:12:27ZengAcademia Brasileira de CiênciasAnais da Academia Brasileira de Ciências1678-26902021-10-0193410.1590/0001-3765202120190301Bayesian inference for the log-symmetric autoregressive conditional duration modelJEREMIAS LEÃOhttps://orcid.org/0000-0003-1176-0198RAFAEL PAIXÃOhttps://orcid.org/0000-0003-4739-7837HELTON SAULOhttps://orcid.org/0000-0002-4467-8652THEMIS LEAOhttps://orcid.org/0000-0001-7657-974XAbstract This paper adapts Hamiltonian Monte Carlo methods for application in log-symmetric autoregressive conditional duration models. These recent models are based on a class of log-symmetric distributions. In this class, it is possible to model both median and skewness of the duration time distribution. We use the Bayesian approach to estimate the model parameters of some log-symmetric autoregressive conditional duration models and evaluate their performance using a Monte Carlo simulation study. The usefulness of the estimation methodology is demonstrated by analyzing a high frequency financial data set from the German DAX of 2016.http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0001-37652021000700305&tlng=enACD modelsBayesian inferencehigh frequency financial datalog-symmetric distributions |
| spellingShingle | JEREMIAS LEÃO RAFAEL PAIXÃO HELTON SAULO THEMIS LEAO Bayesian inference for the log-symmetric autoregressive conditional duration model Anais da Academia Brasileira de Ciências ACD models Bayesian inference high frequency financial data log-symmetric distributions |
| title | Bayesian inference for the log-symmetric autoregressive conditional duration model |
| title_full | Bayesian inference for the log-symmetric autoregressive conditional duration model |
| title_fullStr | Bayesian inference for the log-symmetric autoregressive conditional duration model |
| title_full_unstemmed | Bayesian inference for the log-symmetric autoregressive conditional duration model |
| title_short | Bayesian inference for the log-symmetric autoregressive conditional duration model |
| title_sort | bayesian inference for the log symmetric autoregressive conditional duration model |
| topic | ACD models Bayesian inference high frequency financial data log-symmetric distributions |
| url | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0001-37652021000700305&tlng=en |
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