Semiparametric estimation for financial durations

We propose a semiparametric model for the analysis of time series of durations that show autocorrelatins and deterministic patterns. Estimation rests on generalized profile likelihood, which allows for joint estimation of the parametric- an ACD type of model- and nonparametric components, providing consistent and asymptotically normal estimators. It is possible to derive the explicit form for the nonparametric estimator, simplifying estimation to a standard maximum likelihood problem