Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...

This article looks at the theory and empirics of extremal quantiles in economics, in particular value-at-risk. The theory of extremes has gone through remarkable developments and produced valuable empirical findings in the last 20 years. In the discussion, we put a particular focus on...

In this paper, we discuss how to best exploit the information contained in spells that are in progress when an observation period begins, that is, left-censored and left-truncated duration data. We provide a survey of censoring and truncation mechanisms in event history models. We describe some...

This survey is devoted to the modelling and the estimation of reduced-form transition models, which have been extensively used and estimated in labor microeconometrics. The first section contains a general presentation of the statistical modelling of such processes using continuous-time...

We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...

This survey is devoted to the modelling and the estimation of reduced-form transition models, which have been extensively used and estimated in labor microeconometrics. The first section contains a general presentation of the statistical modelling of such processes using continuous-time...

The Gaussian kernel density estimator is known to have substantial problems for bounded random variables with high density at the boundaries. For i.i.d. data several solutions have been put forward to solve this boundary problem. In this paper we propose the gamma kernel estimator as density...

In this paper, we focus on the building of an invariant distribution function associated to a non-stationary sample. After discussing some specific problems encountered by non-stationarity inside samples like the "spurious" long memory effect, we build a sequence of stationary processes...

In this paper we discuss different aspects of long mzmory behavior and specify what kinds of parametric models follow them. We discuss the confusion which can arise when empirical autocorrelation function of a short memory process decreases in an hyperbolic way.

This paper introduces a new type of nonlinear model, the min-max model, and analyzes the properties for a pair of series. Stability conditions of this system are given for the nonlinearly integrated bivariate series. Under these stability conditions, the difference of the two series has a...