Search Results - subject:"operational time"

In-sample hazard forecasting based on survival models with operational time

Bischofberger, Stephan M. - In: Risks 8 (2020) 1, pp. 1-17

covariate effect is often called operational time. The accident date of a claim serves as covariate. The estimated hazard rate … that detects operational time in the data and adjusts for it in the estimation process. Advantages of the new estimation …

Persistent link: https://www.econbiz.de/10013200539

In-sample hazard forecasting based on survival models with operational time

Bischofberger, Stephan M. - In: Risks : open access journal 8 (2020) 1/3, pp. 1-17

Persistent link: https://www.econbiz.de/10012204339

How Does Duration Between Trades of Underlying Securities Affect Option Prices

Cartea, Alvaro; Meyer-Brandis, Thilo - Birkbeck, Department of Economics, Mathematics & Statistics - 2007

We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be calculated using this model. We use ultra-high-frequency data for blue-chip companies to motivate a particular choice of...

Persistent link: https://www.econbiz.de/10005227029