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 …

to estimation, like returns, volumes or inter-trade durations. In examples illustrating our approach, we use series of …

We extend existing estimators for duration data that suffer from non-random sample selection to allow for time …-varying covariates. Rather than a continuous-time duration model, we propose a discrete-time alternative that models the effects of … compared to those of a naive discrete duration model through Monte Carlo analysis and indicate that our estimator outperforms …