The paper considers conditional duration models in which durations are in continuous time but measured in grouped or discretized form. This feature of recorded durations in combination with a frequently traded stock is expected to negatively influence the performance of conventional estimators....

The paper studies Swedish stock series using extreme-value theoretical approaches. In a univariate setting support is found for the Frechet family of distributions for minima and maxima. Pairs of return series are found to be asymptotically independent throughout. The results render support for...