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...

A new model for the analysis of durations, the stochastic conditional duration (SCD) model, is introduced. This model is based of the assumption that the durations are generated by a latent stochastic factor that follows a first order autoregressive process. The latent factor is pertubed...

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...

We introduce a class of models for the analysis of durations, which we call stochastic conditional duration (SCD) models. These models are based on the assumption that the durations are generated by a dynamic stochastic latent variable. The model yields a wide range of shapes of hazard...

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...

In this paper, human capital investments are evaluated by assuming heterogeneous returns to schooling. We use the potential outcome approach to measure the causal effect of human capital investments on earnings as a continuous treatment effect. Empirical evidence is based on a sample of West...

In this paper we develop a dynamic model for integer counts to capture the dis- creteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the...