The likelihood of mixed hitting times
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DOI: 10.1016/j.jeconom.2019.08.017
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More about this item
Keywords
Duration analysis; First passage time; Identification; Laplace transform; Lévy process; Maximum likelihood; Mellin’s inverse formula; Mixture; Optimal stopping; Strike duration;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
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