autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model …

autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model … presented. Second, two new classes of ACD models, the smooth transition ACD model and the time- varying ACD model, are … the standardized durations. Section 4 presents the smooth transition ACD model and deduces a test of linearity, and …