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Stochastic Conditional Duration Model with a Mixture-of-Normal Error Distribution : Theoretical Properties and Monte-Carlo Results
Xu, Dinghai - 2013
This paper provides theoretical properties and Monte-Carlo studies of a stochastic conditional duration model with … capturing various density shapes of the expected duration of financial trades as well as accommodating various types of …
Persistent link: https://www.econbiz.de/10013084061
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Distribution regression in duration analysis : an application to unemployment spells
Delgado, Miguel A.; García, Andrés; Sant'Anna, Pedro H. C. - In: The econometrics journal 25 (2022) 3, pp. 675-698
Persistent link: https://www.econbiz.de/10013399857
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Tail behavior of ACD models and consequences for likelihood-based estimation
Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Journal of econometrics 238 (2024) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10015073910
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The unobserved heterogeneity distribution in duration analysis
Abbring, Jaap H.; Berg, Gerard J. van den - 2006
multivariate duration models. …
Persistent link: https://www.econbiz.de/10011349195
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The likelihood of mixed hitting times
Abbring, Jaap H.; Salimans, Tim - In: Journal of econometrics 223 (2021) 2, pp. 361-375
Persistent link: https://www.econbiz.de/10012619975
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Inference on counterfactual distributions
Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - 2012
including classical, quantile, duration, and distribution regressions. We illustrate the results with an empirical application … a tool for modeling the entire conditional distribution, encompassing duration/transformation regression, and …
Persistent link: https://www.econbiz.de/10009492354
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Testing for proportional hazards with unrestricted univariate unobserved heterogeneity
Bhattacharjee, Arnab - 2009
Persistent link: https://www.econbiz.de/10003843790
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Dependence measures in bivariate gamma frailty models
Berg, Gerard J. van den; Effraimidis, Georgios - 2014
Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models …
Persistent link: https://www.econbiz.de/10010339585
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A general family of autoregressive conditional duration models applied to high-frequency financial data
Cunha, Danúbia R.; Vila, Roberto; Saulo, Helton; … - In: Journal of risk and financial management : JRFM 13 (2020) 3/45, pp. 1-20
In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS …
Persistent link: https://www.econbiz.de/10012174138
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The determinants of tourists' length of stay : some further modelling issues
Thrane, Christer - In: Tourism economics : the business and finance of tourism … 21 (2015) 5, pp. 1087-1093
Persistent link: https://www.econbiz.de/10011416433