because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect … from the discount-rate channel. I propose a novel duration measure, the effective equity duration, to capture the effects … is hump-shaped because expected future cash flow growth increases with the discount rates. The effective equity duration …

Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration … the financial duration in question.This paper illustrates that the testing procedure developed is applicable to various …

This paper extends a stochastic conditional duration (SCD) model for financial transaction data to allow for … correlation between error processes or innovations of observed duration process and latent log duration process with the aim of … filter technique to construct one-step-ahead in-sample and out-of-sample duration forecasts of the fitted models …