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 …

In this paper we revisit the notion that a single factor of duration running on single time scale is adequate to … capture the dynamics of the duration process of financial transaction data. The documented poor fit of the left tail of the … marginal distribution of the observed durations in some existing one-factor stochastic duration models may be indicative of the …

This paper proposes a threshold stochastic conditional duration (SCD) model for financial data at the transaction level …. In addition to assuming that the innovations of the duration process follow a threshold distribution with positive … parameters directly. Duration forecasting is constructed by using an auxiliary particle filter based on the fitted models …

This paper studies stochastic conditional duration models with a mixture of distribution processes for financial asset … for Bayesian inference of parameters and duration forecasting of the models. Unlike much of the existing studies in this … of the marginal distribution of duration time series relatively well …