Search Results - subject:"Duration Models"

FOUGERE, DENIS; Florens, Jean-Pierre; Mouchart, Michel - Institute for the Study of Labor (IZA) - 2007

This survey is devoted to the statistical analysis of duration models and point processes. The first section introduces … specific concepts and definitions for single-spell duration models. Section two is devoted to the presentation of conditional … duration models which incorporate the effects of explanatory variables. Competing risks models are presented in the third …

Persistent link: https://www.econbiz.de/10005763733

A Dynamic Semiparametric Proportional Hazard Model

Gerhard, Frank; Hautsch, Nikolaus - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 2, pp. 1377-1377

This paper proposes a dynamic proportional hazard (PH) model with non-specified baseline hazard for the modelling of autoregressive duration processes. By employing a categorization of the underlying durations we reformulate the PH model as an ordered response model based on extreme value...

Persistent link: https://www.econbiz.de/10005046511

Mixture Processes for Financial Intradaily Durations

Luca, Giovanni De; Gallo, Giampiero - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 2, pp. 1223-1223

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of...

Persistent link: https://www.econbiz.de/10004966182

GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model

Ghysels, Eric; Jasiak, Joanna - In: Studies in Nonlinear Dynamics & Econometrics 2 (2007) 4, pp. 133-149

We develop a class of ARCH models for series sampled at unequal time intervals set by trade orquote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed byDrost and Nijman (1993) and Drost and Werker (1996), and the autoregressive conditional duration...

Persistent link: https://www.econbiz.de/10004966264

Survival Analysis in Tourism Demand: The length of stay in Latin American destinations

Barros, Carlos Pestana; Correia, Antónia - ISEG - School of Economics and Management, Department … - 2007

This article analyses the determinants of the length of stay of Portuguese tourists taking vacations in Latin America, based on a questionnaire distributed on flights of a Portuguese charter airline, Air Luxor. A survival model is adopted to measure the relationship between vacation length and...

Persistent link: https://www.econbiz.de/10005592999

Time to Complete a Pos-graduation: some evidence of “school effect” upon ISCED 6 trajectories

Lopes, Margarida Chagas - ISEG - School of Economics and Management, Department … - 2007

Most Portuguese higher education institutions are increasingly compelled to observe rather strict arrangements in what concerns time to achieve post-graduation studies. Actually European equivalence and mobility procedures in the framework of the Bologna process will not allow for considerable...

Persistent link: https://www.econbiz.de/10005628419

Childhood Economic Conditions and Length of Life: Evidence from the UK Boyd Orr Cohort, 1937-2005

Frijters, Paul; Shields, Michael A.; Hatton, Timothy J.; … - Institute for the Study of Labor (IZA) - 2007

We study the importance of childhood socioeconomic conditions in explaining differences in life expectancy using data from a sample of around 5,000 children collected in the UK in 1937-39, who have been traced through official death records up to 2005. We estimate a number of duration of life...

Persistent link: https://www.econbiz.de/10005762036

The Effect of Location on Finding a Job in the Greater Paris Area

Gobillon, Laurent; Magnac, Thierry; Selod, Harris - Institute for the Study of Labor (IZA) - 2007

There are large spatial disparities in unemployment durations across the 1,300 municipalities in the Ile-de-France region (Paris Greater Area). In order to characterize these imbalances, we estimate a proportional hazard model stratified by municipality on an exhaustive dataset of all...

Persistent link: https://www.econbiz.de/10005703274

On the inclusion of bivariate marked point processes in graphical models

Gottard, Anna - In: Metrika 66 (2007) 3, pp. 269-287

Persistent link: https://www.econbiz.de/10005155812

GARCH for Irregularly Spaced Data: The ACD-GARCH Model

Ghysels, Eric; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 1997

We develop a class of ARCH models for series sampled at unequal time intervals set by trade or quote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed by Drost and Nijman (1993) and Drost and Werker (1994), and the autoregressive conditional...

Persistent link: https://www.econbiz.de/10005100975