The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of...

This paper investigates the dynamics of trade duration and the relationship between price volatility and trade durations for the Morgan Stanley Taiwan stock index futures traded on the Singapore Exchange (SGX). It is found that the conditional expected trade durations are significantly related...

This paper shows that the monotonicity of the conditional hazard in traditional ACD models is both econometrically important and empirically invalid. To counter this problem we introduce a more flexible parametric model which is easy to fit and performs well both in simulation studies and in...