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 …

In finance, durations between successive transactions are usually modelled by the autoregressive conditional duration …

Many existing extensions of the Engle and Russell's (1998) Autoregressive Conditional Duration (ACD) model in the … literature are aimed at providing additional exibility either on the dynamics of the conditional duration model or the allowed … regression approach to a nonlinear ACD model; the use of a semiparametric functional form on the dynamics of the duration process …