A Dynamic Semiparametric Proportional Hazard Model
Year of publication: |
2006-10
|
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Authors: | Gerhard, Frank ; Hautsch, Nikolaus |
Institutions: | Økonomisk Institut, Københavns Universitet |
Subject: | autoregressive duration models | dynamic ordered response models | generalized residuals | censoring |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2006/05 31 pages |
Classification: | C22 - Time-Series Models ; C25 - Discrete Regression and Qualitative Choice Models ; C41 - Duration Analysis ; G14 - Information and Market Efficiency; Event Studies |
Source: |
-
Semiparametric autoregressive conditional proportional hazard models
Gerhard, Frank, (2001)
-
Semiparametric autoregressive conditional proportional hazard models
Gerhard, Frank,
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A Dynamic Semiparametric Proportional Hazard Model
Gerhard, Frank, (2007)
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Order Aggressiveness and Order Book Dynamics
Hall, Anthony D., (2004)
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A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
Hall, Anthony D., (2004)
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Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
Hautsch, Nikolaus, (2006)
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