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 assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the quality of their return forecasts. In the low signal-to-noise environment of a one month horizon, we find that it is preferable to rely on a theory-based approach instead of engaging...