In the paper, I generalize the Asymmetric Autoregressive Conditional Duration (AACD) model proposed by Bauwens and Giot (2003) with respect to the generalized gamma and the Burr distribution for an error term. I derive the log likelihood functions for the augmented models and show how to check...

Purpose – This paper is aimed to investigate the impact of different categories of traders on price and volume durations at Euronext Paris. The two series are respectively related to the instantaneous volatility and the market liquidity; hence, they are particularly suited to test...

Financial market price formation and exchange activity can be investigated by means of ultra-high frequency data. In this article, we investigate an extension of the Autoregressive Conditional Duration (ACD) model of Engle and Russell (1998) by adopting a mixture of distribution approach with...