Using density forecasts, we compare the predictive performance of dur ation models that have been developed fo modelling intra-day data on stock markets. Our model portfolio encompasses the auto regressive conditional duration (ACD) model, its logarithmic version (Log-ACD), the threshold...

A new model for the analysis of durations, the stochastic conditional dusration (SCD) model is introduced. This model is based on the assumption that the durations are generated by a latent stochastic factor that follows a first order autoregressive process. The lattent factor is perturbed...

A new model for the analysis of durations, the stochastic conditional duration (SCD) model, is introduced. This model is based of the assumption that the durations are generated by a latent stochastic factor that follows a first order autoregressive process. The latent factor is pertubed...