characterize duration data. The first one is that the data may be censored, and the second feature of duration data is that … lead some famous identification problems for the duration models. Following the recent literature in partial identification …, we show the conditions when the duration models could be identified and provide several suggestions for the confidence …

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 …