Many existing extensions of the Engle and Russell's (1998) Autoregressive Conditional Duration (ACD) model in the literature are aimed at providing additional exibility either on the dynamics of the conditional duration model or the allowed shape of the hazard function, i.e. its two most...

This paper puts forward an alternative semiparametric regression approach to a nonlinear ACD modeling. The semiparametric functional form of the dependence of the conditional intensity on past durations suggests that the model be called the Semiparametric ACD (SEMI-ACD) model. The development of...

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...

Many existing extensions of the Engle and Russell's (1998) Autoregressive Conditional Duration (ACD) model in the literature are aimed at providing additional flexibility either on the dynamics of the conditional duration model or the allowed shape of the hazard function, i.e. its two most...