This paper proposes a threshold stochastic conditional duration (SCD) model for financial data at the transaction level …. In addition to assuming that the innovations of the duration process follow a threshold distribution with positive … parameters directly. Duration forecasting is constructed by using an auxiliary particle filter based on 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 …

This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential ß-mixing as we show in …-memory duration models in an out-of-sample forecasting exercise based on price durations of three major foreign exchange futures …

because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect … from the discount-rate channel. I propose a novel duration measure, the effective equity duration, to capture the effects … is hump-shaped because expected future cash flow growth increases with the discount rates. The effective equity duration …

Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models …