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 provides theoretical properties and Monte-Carlo studies of a stochastic conditional duration model with … capturing various density shapes of the expected duration of financial trades as well as accommodating various types of …

duration analysis. …

Since the early 1980s, the econometric analysis of duration variables has become widespread. This chapter provides an … overview of duration analysis, with an emphasis on the specification and identification of duration models, and with special … attention to models for multiple durations. Most of the chapter deals with so-called reduced-form duration models, notably the …

multivariate duration models. …