Bauwens, L.; Veredas, D. - Center for Operations Research and Econometrics (CORE), … - 1999
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...