Essays on mixed hitting time models

Yifan Yu

Research output: ThesisDoctoral ThesisScientific

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Abstract

This doctoral dissertation consists of three chapters on mixed hitting-time (MHT) models that specify durations as the first time a latent stochastic process crosses a heterogeneous threshold. Chapter 2 studies the empirical analysis of synchronization games in which the payoffs of stopping increase when other agents stop. Chapter 3 investigates a competing risks model in which one latent duration is the first time a stochastic process increases above some threshold and the other latent duration is the first time this same process falls below another threshold. Chapter 4 considers an extension of the MHT model with a mean reverting latent process, i.e. an Ornstein-Uhlenbeck process.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Abbring, Jaap, Promotor
  • Kort, Peter, Promotor
Award date12 Apr 2019
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 584 3
Publication statusPublished - 2019

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Stochastic processes
Synchronization
Competing risks model
Mean-reverting
Empirical analysis
Ornstein-Uhlenbeck process

Cite this

Yu, Y. (2019). Essays on mixed hitting time models. Tilburg: CentER, Center for Economic Research.
Yu, Yifan. / Essays on mixed hitting time models. Tilburg : CentER, Center for Economic Research, 2019. 132 p.
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series = "CentER Dissertation Series",
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school = "Tilburg University",

}

Yu, Y 2019, 'Essays on mixed hitting time models', Doctor of Philosophy, Tilburg University, Tilburg.

Essays on mixed hitting time models. / Yu, Yifan.

Tilburg : CentER, Center for Economic Research, 2019. 132 p.

Research output: ThesisDoctoral ThesisScientific

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AB - This doctoral dissertation consists of three chapters on mixed hitting-time (MHT) models that specify durations as the first time a latent stochastic process crosses a heterogeneous threshold. Chapter 2 studies the empirical analysis of synchronization games in which the payoffs of stopping increase when other agents stop. Chapter 3 investigates a competing risks model in which one latent duration is the first time a stochastic process increases above some threshold and the other latent duration is the first time this same process falls below another threshold. Chapter 4 considers an extension of the MHT model with a mean reverting latent process, i.e. an Ornstein-Uhlenbeck process.

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Yu Y. Essays on mixed hitting time models. Tilburg: CentER, Center for Economic Research, 2019. 132 p. (CentER Dissertation Series).