A Monte Carlo Study into Time Aggregation in Continuous and Discrete-Time Hazard Models.

The purpose of this study is to investigate the effect of time-aggregation in discrete and contunous-time hazard models. A Monte Carlo study is conducted in which data are generated according to underlying contunous and discrete-time processes, which data are aggregated into daily, weekly and monthly intervals.

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Year of publication:	1996
Authors:	Ter Hofstede, F. ; Wedel, M.
Subject:	SIMULATION \| AGGREGATION \| ECONOMIC MODELS

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Series:	Mansholt Working Papers.
Type of publication:	Book / Working Paper
Notes:	25 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C24 - Truncated and Censored Models ; C41 - Duration Analysis ; C43 - Index Numbers and Aggregation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005002126