This paper proposes a threshold stochastic conditional duration (SCD) model for financial data at the transaction level …. In addition to assuming that the innovations of the duration process follow a threshold distribution with positive … parameters directly. Duration forecasting is constructed by using an auxiliary particle filter based on the fitted models …

This paper proposes a threshold stochastic conditional duration (TSCD) model to capture the asymmetric property of … financial transactions. The innovation of the observable duration equation is assumed to follow a threshold distribution with … assumed for the innovation of the duration equation …

implied by Autoregressive Conditional Duration (ACD) models. We propose Lagrange multiplier tests against sign bias …, the testing framework is applied to a variety of existing and new ACD specifications using financial duration data based …

In a duration analysis, the time of enterprises functioning, i.e. from the foundation to their liquidation, is … of time duration: the mean duration of enterprises and the mean additional duration of enterprises, which are also used …

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration … data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction … volume and duration of price variations in stock markets. In this work, our goal is to devise testing that will aid in the …