We propose a general form of vector Multiplicative Error Model (MEM) for the dynamics of duration, volume and price … the market. But we highlight that it is unexpected component of trading duration or trading volume that carry the …

The first purpose of this paper is to assess the short-run forecasting capabilities of two competing financial duration … models. The forecast performance of the Autoregressive Conditional Multinomial–Autoregressive Conditional Duration (ACM …-ACD) model is better than the Asymmetric Autoregressive Conditional Duration (AACD) model. However, the ACM-ACD model is more …