Duration time-series models with proportional hazard
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Publication:3608189
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Cites work
- scientific article; zbMATH DE number 3114766 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 3591262 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A Family of Concepts of Dependence for Bivariate Distributions
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A framework for positive dependence
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- A simplified approach to computing efficiency bounds in semiparametric models
- An efficient nonparametric estimator for models with nonlinear dependence
- An introduction to copulas. Properties and applications
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Boundary modification for kernel regression
- Concepts de dépendance et ordres stochastiques pour des lois bidimensionnelles
- Copulas and Markov processes
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Mixing Conditions for Markov Chains
- Nonparametric statistics for stochastic processes. Estimation and prediction.
- Parametric families of multivariate distributions with given margins
- Partial orderings of permutations and monotonicity of a rank correlation statistic
- Positive dependence orderings
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- STOCHASTIC UNIT ROOT MODELS
- Some Concepts of Dependence
- Stochastic volatility duration models
- Structural Laplace Transform and Compound Autoregressive Models
- The Econometrics of Ultra-high-frequency Data
Cited in
(10)- Vine copula specifications for stationary multivariate Markov chains
- Proportional hazards models for survival data with long-term survivors
- Intraday trade and quote dynamics: A Cox regression analysis
- A Dynamic Semiparametric Proportional Hazard Model
- Exploring the copula approach for the analysis of financial durations
- A stationary proportional hazard class process and its applications
- Estimation of copula-based semiparametric time series models
- A review of copula models for economic time series
- Some aspects of modeling dependence in copula-based Markov chains
- When is a proportional hazards model valid for both stock and flow sampled duration data?
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