This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the … transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support … discrimination, we employ deviance information criteria, which does not depend on the number of model parameters directly. Duration …

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 … filter technique to construct one-step-ahead in-sample and out-of-sample duration forecasts of the fitted models …

In this paper we revisit the notion that a single factor of duration running on single time scale is adequate to … capture the dynamics of the duration process of financial transaction data. The documented poor fit of the left tail of the … marginal distribution of the observed durations in some existing one-factor stochastic duration models may be indicative of the …