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 …

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 …

estimation algorithm, which is devised to address the latency problem arises because the conditional expectation of duration with …-ACD procedure to model the price duration process of the \$US/\$EUR exchange rate …

stationary time series regressors. A new and simple test is proposed and the resulting asymptotic theory is established. The test …

general semiparametric local alternatives. The asymptotic theory developed in this paper differs from existing work on … illustrate the proposed theory and methodology …

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 …