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COX REGRESSION WITH ALTERNATIVE CONCEPTS OF WAITING TIME: THE NEW ORLEANS YEL...
Event data can often be analysed using different concepts of waiting time. Our application offers three choices: calendar-time, age, and duration of residence in New Orleans. We... -
SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERN...
This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced...
