The Stochastic Conditional Duration Model: a Latent Factor Model for the Analysis of Financial Durations.

A new model for the analysis of durations, the stochastic conditional dusration (SCD) model is introduced. This model is based on the assumption that the durations are generated by a latent stochastic factor that follows a first order autoregressive process. The lattent factor is perturbed multiplicatively by an innovation distributed as Weibull or gamma variable.

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Year of publication:	1999
Authors:	Bauwens, L. ; Veredas, D.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	MATHEMATICAL ANALYSIS \| STATISTICAL ANALYSIS \| FINANCIAL MARKET

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Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	29 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C41 - Duration Analysis ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005634184