In this paper, we develop a fully nonparametric approach for the estimation of the cumulative incidence function with Missing At Random right-censored competing risks data. We obtain results on the pointwise asymptotic normality as well as the uniform convergence rate of the proposed...

While many previous studies on temporary work have found disadvantages for temporary workers as compared to workers with a permanent contract, this study compares temporary work to the alternative of unemployment. Specifically, this paper investigates the potential integrative power of taking up...

This paper develops and implements a new approach for separately identifying preference and opportunity parameters of a two-sided search and matching model in the absence of data on choice sets. This approach exploits information on the dynamics of matches: how long it takes for singles to form...

This paper studies signs and reasons of decline of job stability in West Germany. Using data from the German Socio-Economic Panel 1984-1997, we look at two measures for job stability. Based on repeated cross sectional data we first show that medium elapsed tenure declined for men. Secondly, we...

In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...

This paper investigates whether job stability in western Germany shows any signs of decline and compares the findings to evidence for the US and the UK. Cross sectional data and calendar information from the German Socioeconomic Panel 1984-1997 are combined allowing to check possible influences...

This paper studies the identification of a simultaneous equation model where the variable of interest is a duration measure. It proposes a game theoretic model in which durations are determined by strategic agents. In the absence of strategic motives, the model delivers a version of the...

We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority...

This paper studies the identification of a simultaneous equation model involving duration measures. It proposes a game theoretic model in which durations are determined by strategic agents. In the absence of strategic motives, the model delivers a version of the generalized accelerated failure...

This paper studies the identification of a simultaneous equation model involving duration measures. It proposes a game theoretic model in which durations are determined by strategic agents. In the absence of strategic motives, the model delivers a version of the generalized accelerated failure...