This paper extends the stochastic conditional duration model first proposed by Bauwens and Veredas (2004) by imposing mixtures of bivariate normal distributions on the innovations of the observation and latent equations of the duration process. This extension allows the model not only to capture...

This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms follow a heavy/fat tailed Student t distribution. The two...

This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support. In addition, it also assumes that the latent...