This paper proposes a threshold stochastic conditional duration (SCD) model for financial data at the transaction level …. In addition to assuming that the innovations of the duration process follow a threshold distribution with positive … parameters directly. Duration forecasting is constructed by using an auxiliary particle filter based on the fitted models …

This paper studies stochastic conditional duration models with a mixture of distribution processes for financial asset … for Bayesian inference of parameters and duration forecasting of the models. Unlike much of the existing studies in this … of the marginal distribution of duration time series relatively well …

This paper extends a stochastic conditional duration (SCD) model for financial transaction data to allow for … correlation between error processes or innovations of observed duration process and latent log duration process with the aim of … filter technique to construct one-step-ahead in-sample and out-of-sample duration forecasts of the fitted models …

This paper proposes a threshold stochastic conditional duration (TSCD) model to capture the asymmetric property of … financial transactions. The innovation of the observable duration equation is assumed to follow a threshold distribution with … assumed for the innovation of the duration equation …

There is little evidence on unemployment duration and its determinants in developing countries. This study is on the … duration aspect of unemployment in a developing country, Turkey. We analyze the determinants of the probability of leaving …

typically borrow short to lend long. This is known as duration mismatch. To mitigate the risks, banks are required to hold … outliers given static risks and not enough on the possibility that risks themselves are perceived to surge. For long duration … defaults.Standard capital buffers cannot reliably cover these markdowns. Readjusting buffer requirements to duration and …

Mixed proportional hazard models are commonly used to estimate duration dependence and unobserved heterogeneity in … unemployment exit rate are separable. The model we use in this paper allows for both the individual duration dependence pattern and … of this paper is to assess the validity of the third separability assumption, namely that the duration dependence pattern …