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 …

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 … dependence structures for the IBM and Boeing duration data …

We introduce a class of models for the analysis of durations, which we call stochastic conditional duration (SCD …

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 … discrimination, we employ deviance information criteria, which does not depend on the number of model parameters directly. Duration …

Many existing extensions of the Engle and Russell's (1998) Autoregressive Conditional Duration (ACD) model in the … literature are aimed at providing additional flexibility 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 …