Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets. Our model portfolio encompasses the autoregressive conditional duration (ACD) model, its logarithmic version (Log-ACD), the threshold ACD...

Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets. The compared models are the autoregressive conditional duration (ACD) models, their logarithmic versions, in each case with three...

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...