Search Results - subject_exact:"Duration analysis"

Modeling recurrent financial distress : a survival analysis of structured dependence

Uğur, Mehmet; Zeynalov, Ayaz - 2026

Existing research on financial distress typically treats failure as a single event and pays limited attention to the dynamic dependence between recurrent distress episodes. Ignoring such dependence can lead to biased hazard estimates and weaker predictive performance. We propose a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616221

Interdependent hitting times

Abbring, Jaap H.; Yu, Yifan - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656327

Spot volatility measurement using a change-point duration model in the high-frequency market

Li, Zhicheng; Xing, Haipeng; Wang, Yan - 2025

Modeling high-frequency volatility is an important topic of market microstructure, as it provides the empirical tools to measure and analyze the rapid price movements. Yet, volatility at a high frequency often exhibits abrupt shifts driven by news and trading activity, making accurate estimation...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015584383

Interview completed : the application of survival analysis to detect factors influencing response rates in online surveys

Münnich, Ákos; Kocsis, Mátyás; Mainwaring, Mark C.; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371500

Survival analysis for credit risk : a dynamic approach for Basel IRB compliance

Dala, Fernando L.; Esquível, Manuel L.; Gaspar, Raquel M. - 2025

This paper uses survival analysis as a tool to assess credit risk in loan portfolios within the framework of the Basel Internal Ratings-Based (IRB) approach. By modeling the time to default using survival functions, the methodology allows for the estimation of default probabilities and the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448887

Relationship between coefficients in parametric survival models for exponentially distributed survival time : registered unemployment in Poland

Bieszk-Stolorz, Beata - 2025

Survival analysis is a popular research tool in medicine and demography. It has been used for many years to study the duration of socio-economic phenomena. The aim of this article is to evaluate the relationship between the coefficients of the proportional hazards model (PH) and the accelerated...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408221

Quantitative modeling of M&A success probability : integrating macroeconomic volatility and temporal factors through survival analysis

Xu, Dan - 2025

This paper delves into the intricate dynamics of the likelihood of merger and acquisition (M&A) completion in China and scrutinizes the influence of global and domestic economic conditions through survival analysis. By utilizing data from 3227 domestic M&A transactions from 1998 to 2024, this...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015433547

Perform, start, continue R&D activities : do financial constraints matter?

Chirita, Bianca Maria; Mañez Castillejo, Juan A.; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015457468

Counterfactual duration analysis

Delgado, Miguel A.; García-Suaza, Andrés - 2025

This article introduces new counterfactual standardization techniques for comparing duration distributions subject to random censoring through counterfactual decompositions. The counterfactual distribution of one population relative to another is computed after estimating the conditional...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562096

Frailty model and dependence structure for bivariate survival data

Idiou, Nesrine; Benatia, Fatah; Mesbah, Mounir - 2025

Copulas and their uses in statistics, namely biostatistics, are a relatively new field of research. When modeling the dependence structure between a vector random variable's joint distribution and marginal distributions, copulas are crucial. In this article, we discuss recent research on this...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015580525

Exploring the drivers of farm sustained participation in agri-environmental programmes

Bojnec, Štefan; Fertő, Imre - 2025

This paper examines the socioeconomic and institutional determinants influencing sustained participation in Agri-Environmental Climate Schemes (AECS), drawing on comprehensive panel data from Slovenian farms covering the period 2014-2021. Using discrete-time hazard models and nonparametric...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015576561

Determinants of sustainability of informal community-based financial groups : insights from a survival analysis approach

Aganze, Roger; Mersland, Roy; D'Espallier, Bert; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015532472

A stochastic model for predicting the response time of green vs brown stocks to climate change news risk

Fahmy, Hany - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558686

Estimating policy impact in a difference-in-differences hazard model : a simulation study

Hsieh, David A. - 2025

This article estimates the impact of a policy change on an event probability in a difference-in-differences hazard model using four estimators. We examine the error distributions of the estimators via a simulation experiment with twelve different scenarios. In four simulation scenarios when all...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015515200

A comment on: "Autoregressive conditional duration : a new model for irregularly spaced transaction data"

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015401165

Pre-crisis conditions and financial crisis duration

Thanh Cong Nguyen; Thuy Tien Ho - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015438717

Determinants of the duration of economic recoveries : the role of "too much finance"

Castro, Vítor; Fisera, Boris - 2022

This paper explores the effect of financial development on the duration of economic recoveries, considering a sample of 414 economic recoveries observed in 67 countries during the period 1989-2019. We define the duration of economic recovery, as the time it takes the economy to return to its...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013474579

Analyzing nurses' decisions to leave their profession : a duration analysis

Kroczek, Martin - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014564128

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Analyzing nurses’ decisions to leave their profession—a duration analysis

Kroczek, Martin - 2023

Article

Analyzing nurses’ decisions to leave their profession—a duration analysis

Kroczek, Martin - 2023

Article

Analyzing nurses' decisions to leave their profession: A duration analysis

Kroczek, Martin - 2021

Book / Working Paper

Analyzing nurses' decisions to leave their profession : a duration analysis

Kroczek, Martin - 2021

Book / Working Paper

Time varying effects in survival analysis : a novel data-driven method for drift identification and variable selection

Babutsidze, Zakaria; Guerzoni, Marco; Riso, Luigi - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014566819

Evaluation of undergraduate academic programs through data envelopment analysis and time-to-degree estimates at Spanish public universities

Salas-Velasco, Manuel - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014549200

A Dirichlet process mixture regression model for the analysis of competing risk events

Ungolo, Francesco; Heuvel, Edwin R. van den - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015066791

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A Dirichlet Process Mixture regression model for the analysis of competing risk events

Ungolo, Francesco; Heuvel, Edwin van den - 2023

Book / Working Paper

Tail behavior of ACD models and consequences for likelihood-based estimation

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015073910

Improving credit risk assessment in P2P lending with explainable machine learning survival analysis

Bone-Winkel, Gero Friedrich; Reichenbach, Felix - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015078229

Exploring the innovative effort : duration models and heterogeneity

Bontempi, Maria Elena; Lambertini, Luca; Parigi, Giuseppe - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015078898

Transition to motherhood : the role of health

Simankova, Irina; Tauchmann, Harald - 2024

The age at which women become mothers for the first time is ever increasing in many industrialized countries. Therefore, fertility determinants that might deteriorate with age, such as health, and their effect on reproductive patterns, should be given more attention. We explore the effect of the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014532025

Discrete-time survival models with neural networks for age-period-cohort analysis of credit risk

Wang, Hao; Bellotti, Anthony; Qu, Rong; Bai, Ruibin - 2024

Survival models have become popular for credit risk estimation. Most current credit risk survival models use an underlying linear model. This is beneficial in terms of interpretability but is restrictive for real-life applications since it cannot discover hidden nonlinearities and interactions...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014497384

Old firms and new export flows : does experience increase survival?

Lawless, Martina; Studnicka, Zuzanna - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014515764

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Old firms and new export flows : does experience increase survival?

Lawless, Martina; Studnicka, Zuzanna - 2019

Book / Working Paper

Empirical Monte Carlo evidence on estimation of timing-of-events models

Lombardi, Stefano; Berg, Gerard J. van den; Vikström, Johan - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196435

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Empirical Monte Carlo evidence on estimation of timing-of-events models

Lombardi, Stefano; Berg, Gerard J. van den; Vikström, Johan - 2021

Book / Working Paper

Empirical Monte Carlo evidence on estimation of Timing-of-Events models

Lombardi, Stefano; Berg, Gerard J. van den; Vikström, Johan - 2020

Book / Working Paper

Micro-modelling approaches for credit rating and corporate survival

Novotná, Martina - 2024 - 1. vydání

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015412060

Regression discontinuity design with principal stratification in the mixed proportional hazard model : an application to the long-run impact of education on longevity

Bijwaard, Govert; Jones, Andrew M. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015048387

Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - 2024

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014581582

Machine learning algorithms for predicting unemployment duration in Russia

Maigur, Anna A. - 2024

Predictions of the individual unemployment duration will allow to distribute target support while searching for a job more effectively. The paper uses survival models to predict the unemployment duration based on data from Russian employment centers in 2017-2021. The dataset includes...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396287

Worker occupational skills and unemployment duration : a competing-risks econometric approach

Elroukh, Ahmed W. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015062796

Revisiting the duration dependence in the US stock market cycles

Zakamulin, Valeriy - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013494428

Application of the kNN-Based method and survival approach in estimating loss given default for unresolved cases

Ptak-Chmielewska, Aneta; Kopciuszewski, Paweł; … - 2023

A vast majority of Loss Given Default (LGD) models are currently in use. Over all the years since the new Capital Accord was published in June 2004, there has been increasing interest in the modelling of the LGD parameter on the part of both academics and practitioners. The main purpose of this...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014245738

The Role of IPO Proceeds on Survival of Companies : A Survival Analysis Approach

Alyasa Gan, Siti Sarah; Che Yahya, Norliza; Low, Rand … - 2023

IPO information disclosures such as the strategic uses of IPO proceeds and the time frame to utilize them have the potential to signal the listing companies’ post-IPO survival. We examine the role of the IPO proceeds on 423 companies’ survival in the Malaysian market from 2000 to 2014. Using...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014257401

Deep attentive survival analysis in limit order books : estimating fill probabilities with convolutional-transformers

Arroyo, Álvaro; Cartea, Álvaro; Moreno-Pino, Fernando; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014551895

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Deep Attentive Survival Analysis in Limit Order Books : Estimating Fill Probabilities with Convolutional-Transformers

Arroyo, Álvaro; Cartea, Álvaro; Moreno-Pino, Fernando; … - 2023

Book / Working Paper

Survival Analysis

Ronen, Eyal - 2023

Survival analysis or duration modelling is a widely applied statistical method for estimating the expected time until a specific event of interest occurs. In recent decades, this method has garnered significant attention within the field of social sciences, particularly in economic-based...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014356306

Survival of the fittest : tourism exposure and firm survival

Caires, Filipe B.; Reis, Hugo; Rodrigues, Paulo M. M. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014439473

On the determinants of sanctions effectiveness : an empirical analysis by using duration models

Caetano, José Manuel; Galego, Maria Aurora; Caleiro, … - 2023

Sanctions are a recurrent issue on the international scene that has gained relevance in recent decades. This article intends to approach this matter in an innovative way by analyzing the relative importance of sanctions' types and objectives, besides target countries' characteristics, on...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014319285

Influence of tourism seasonality and financial ratios on hotels' exit risk

Zhang, Dengjun; Xie, Jinghua - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014265822

The duration of acceleration cycle downturns : duration dependence, international dynamics and synchronisation

Koutsoumanis, George; Castro, Vítor - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014253716

Investigation of the Trade Durations with Autoregressive Conditional Duration Model : Evidence from Borsa Istanbul

Baran, Ümit Altay; Karahan, Cenk C. - 2023

This paper investigates duration dynamics in Borsa ̇Istanbul (BIST) stock exchange via Autoregressive Conditional Duration (ACD) model applied on time observed between consecutive trades. Investigation of a suitable error term specification reveals that Weibull ACD (WACD) model is the most...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014254666

A study of a survival data using kernel estimates of hazard rate and aging intensity functions

Szymkowiak, Magdalena; Roychowdhury, Anasuya; Misra, … - 2023

Analyzing survival (life-testing) data and drawing inferences about them is a part of engineering and health sciences. So far, various statistical tools, e.g., survival (reliability) function (s f ), probability density function (pd f ), and hazard rate function (HR) were available among...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015121013

Bayesian modelling for semi-competing risks data in the presence of censoring

Bhattacharjee, Atanu; Dey, Rajashree - 2023

In biomedical research, challenges to working with multiple events are often observed while dealing with time-to-event data. Studies on prolonged survival duration are prone to having numerous possibilities. In studies on prolonged survival, patients might die of other causes. Sometimes in the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015052193

Estimating the probability of leaving unemployment for older people in Poland using survival models with censored data

Grzenda, Wioletta - 2023

Current demographic changes require greater participation of people aged 50 or older in the labour market. Previous research shows that the chances of returning to employment decrease with the length of the unemployment period. In the case of older people who have not reached the statutory...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015052247

The specification of dynamic discrete-time two-state panel data models

Gørgens, Tue; Hyslop, Dean Robert - 2019

This paper compares two approaches to analyzing longitudinal discrete-time binary outcomes. Dynamic binary response models focus on state occupancy and typically specify low-order Markovian state dependence. Multi-spell duration models focus on transitions between states and typically allow for...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012025722

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The specification of dynamic discrete-time two-state panel data models

Gørgens, Tue; Hyslop, Dean Robert - 2016

Book / Working Paper

The specification of dynamic discrete-time two-state panel data models

Gørgens, Tue; Hyslop, Dean Robert - 2016

Book / Working Paper

Long-run effects of dynamically assigned treatments : a new methodology and an evaluation of training effects on earnings

Berg, Gerard J. van den; Vikström, Johan - 2019

We propose and implement a new method to estimate treatment effects in settings where individuals need to be in a certain state (e.g. unemployment) to be eligible for a treatment, treatments may commence at different points in time, and the outcome of interest is realized after the individual...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012035113

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Long-run effects of dynamically assigned treatments : a new methodology and an evaluation of training effects on earnings

Berg, Gerard J. van den; Vikström, Johan - 2019

Book / Working Paper

Fixed-effects estimation of the linear discrete-time hazard model : an adjusted first-differences estimator

Tauchmann, Harald - 2019

This paper shows that popular linear fixed-effects panel-data estimators (first-differences, within-transformation) are biased and inconsistent when applied in a discrete-time hazard setting, that is, one with the outcome variable being a binary dummy indicating an absorbing state, even if the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012120020

Moment Restrictions for Nonlinear Panel Data Models with Feedback

Bonhomme, Stéphane; Dano, Kevin; Graham, Bryan S. - 2025

Many panel data methods, while allowing for general dependence between covariates and time-invariant agent-specific heterogeneity, place strong a priori restrictions on feedback: how past outcomes, covariates, and heterogeneity map into future covariate levels. Ruling out feedback entirely, as...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015421917