VEREDAS, David; RODRIGUEZ-POO, Juan; ESPASA, Antoni - Center for Operations Research and Econometrics (CORE), … - 2002
A new method of estimating a component model for the analysis of financial durations is proposed. The components are long-run dynamics and seasonality. The latter is left unspecified and the former is assumed to fall within the class ofa certain family of parametric functions. The proposed...