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 … discrimination, we employ deviance information criteria, which does not depend on the number of model parameters directly. Duration …

This paper describes a semiparametric Bayesian method for analyzing duration data. The proposed estimator specifies a … complete functional form for duration spells, but allows flexibility by introducing an individual heterogeneity term, which … follows a Dirichlet mixture distribution. I show how to obtain predictive distributions for duration data that correctly …

This paper discusses duration models for the quantification of credit risk. Econometric techniques to quantify the … duration of a credit in a “non-default” state are analyzed and applied to a data set obtained from credit files taken from six …

an auxiliary univariate single-spell duration model. The method exploits information on the timing of the treatment …

different benefit sizes. Our results from a duration analysis show clearly that the higher the benefits, the larger the …