dealing with more than one lag. When the mean has an additive structure, however, better estimation methods are available … estimation of the conditional mean, it is equally if not more important to measure the future risk of the series along with the … interpretation of each lagged value's influence on such a function. In this paper we consider the joint estimation of both the …

-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …