data, Exponential, Weibull, and Generalized Gamma Autoregressive Conditional Duration (ACD) models, with adjustments for … intraday patterns, were applied to model the time between transactions. Results showed that the ACD models effectively capture …

) models based on generalized Birnbaum-Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD … of the GBS-ACD models. Finally, an illustration of the proposed models is made by using New York stock exchange (NYSE …In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD …

In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models … based on generalized Birnbaum-Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models … of the GBS-ACD models. Finally, an illustration of the proposed models is made by using New York stock exchange (NYSE …

(ACD) models and stochastic conditional duration (SCD) models discussed in the literature are special cases. The martingale … is illustrated on three classes of generalized duration models, viz., multiplicative random coefficient ACD models …