Veredas, David; Rodríguez-Poo, Juan M.; Espasa, Antoni - Departamento de Estadistica, Universidad Carlos III de … - 2001
A component model for the analysis of financial durations is proposed. The components are the long-run dynamics and the seasonality. The later is left unspecified and the former is assumed to fall within the class of certain family of parametric functions. The joint model is estimated by...