Duration time-series models with proportional hazard
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Publication:3608189
DOI10.1111/j.1467-9892.2007.00546.xzbMath1164.62045OpenAlexW2169991184MaRDI QIDQ3608189
Patrick Gagliardini, Christian Gouriéroux
Publication date: 28 February 2009
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://crest.science/RePEc/wpstorage/2002-21.pdf
Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)
Related Items (5)
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 ⋮ Vine Copula Specifications for Stationary Multivariate Markov Chains ⋮ Intraday trade and quote dynamics: A Cox regression analysis
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