This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the … transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support …

consists of policies across a wide range of crops, plans, and locations. Weather and other latent variables induce dependence …

, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence … aggregate effects of the sign and size of returns, business cycles, volatility, and REIT eras on the dependence structure of … daily, weekly, and monthly REIT returns. The study documents asymmetric and misaligned dependence patterns. A bad market …