This paper introduces an alternative testing procedure to test the distribution of the error term in the Autoregressive Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration by which its probability distribution may have...

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...

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...