We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic...

We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process...

[fre] Dang un livre récent, l'auteur de cet article a tenté de recenser ce qu'on sait et ce qui reste à comprendre d'un changement assez récent, mais déjà fort sensible, de l'organisation de notre territoire : un nombre sans cesse croissant de ménages, citadins d'orig ne et de...