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...

Using density forecast evaluation techniques we compare the predictive performance of econometric specifications that have been developed for modeling duration processes in intra-day financial markets. The model portfolio encompasses various variants of the Autoregressive Conditional Duration...

We introduce a class of models for the analysis of durations, which we call stochastic conditional duration (SCD) models. These models are based on the assumption that the durations are generated by a dynamic stochastic latent variable. The model yields a wide range of shapes of hazard...