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...

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...

Summary This paper is concerned with the effect of vocational training on individual unemployment duration in West Germany. The data base used in this study is the German Socio-Economic Panel (GSOEP) for West Germany for the period from 1984 to 1994. The econometric model is a semi-parametric...