theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On …

This paper extends the stochastic conditional duration model first proposed by Bauwens and Veredas (2004) by imposing … mixtures of bivariate normal distributions on the innovations of the observation and latent equations of the duration process … dependence structures for the IBM and Boeing duration data …

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 …

We introduce a class of models for the analysis of durations, which we call stochastic conditional duration (SCD …