market index, in this paper we revisit the duration dependence in bull and bear markets. We find that for both bull and bear … markets the duration dependence is a nonlinear function of the state age. Our results suggest that the duration dependence in … bear markets is strictly positive. For 93% of bull markets the duration dependence is also positive. Only about 7% of the …

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 …

This paper proposes a threshold stochastic conditional duration (TSCD) model to capture the asymmetric property of … financial transactions. The innovation of the observable duration equation is assumed to follow a threshold distribution with … assumed for the innovation of the duration equation …

amplitude of these price variations to be market volatility and trade duration. By contrast, trade size and execution speed, as … dependence in terms of the well-known square-root scaling of volatility as a function of duration. Our explanation is consistent ….Conditional on trade duration, trade size is found to have little influence on price variations during execution. We find evidence …

Duration is an important parameter used by investors to choose between different investment opportunities in financial … economics. While the concept of duration is usually associated with fixed-income assets, its expansion to the equity assets is … provide a first complete overview of Equity Duration, calculating and comparing different types, investigating the changes in …