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 …

We estimate business cycle regime switching logit models for G7 countries to determine the effect of duration of the … falls into a recession. We also find that expansions in the US and Germany are duration dependent, i.e. are more likely to … end as they grow older. This contrasts with other G7 countries where expansions are not duration dependent. With respect …

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 …