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 …

duration forecasting. Lastly the proposed models and estimation approach are applied to two benchmark data sets that have been …This paper proposes a threshold stochastic conditional duration (SCD) model for financial data at the transaction level …. In addition to assuming that the innovations of the duration process follow a threshold distribution with positive …

This paper extends a stochastic conditional duration (SCD) model for financial transaction data to allow for … correlation between error processes or innovations of observed duration process and latent log duration process with the aim of … estimation methods commonly used to estimate the SCD model in the literature, we work with the original specification of the …