In finance, durations between successive transactions are usually modelled by the autoregressive conditional duration …

Many existing extensions of the Engle and Russell's (1998) Autoregressive Conditional Duration (ACD) model in the … literature are aimed at providing additional exibility either on the dynamics of the conditional duration model or the allowed … regression approach to a nonlinear ACD model; the use of a semiparametric functional form on the dynamics of the duration process …

Many existing extensions of the Engle and Russell's (1998) Autoregressive Conditional Duration (ACD) model in the … literature are aimed at providing additional flexibility either on the dynamics of the conditional duration model or the allowed … regression approach to a nonlinear ACD model; the use of a semiparametric functional form on the dynamics of the duration process …

This paper investigates duration dynamics in Borsa ̇Istanbul (BIST) stock exchange via Autoregressive Conditional … Duration (ACD) model applied on time observed between consecutive trades. Investigation of a suitable error term specification … traded stocks in the market documents cross sectional differences in the trade duration dynamics, where the level of duration …

Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration … the financial duration in question.This paper illustrates that the testing procedure developed is applicable to various …