Bauwens, Luc; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
individual models and discuss major
empirical applications.
Keywords: Financial point processes, dynamic duration models, dynamic … major statistical tools. In Section 3, we review the class of dynamic duration models.
Specifying a (dynamic) duration model …)).
3 Dynamic Duration Models
In this section, we discuss univariate dynamic models for the durations between consecutive …