Feng, Dingan - In: Journal of Financial Econometrics 2 (2004) 3, pp. 390-421
This article proposes stochastic conditional duration (SCD) models with "leverage effect" for financial transaction data, which extends both the autoregressive conditional duration (ACD) model (Engle and Russell, 1998, Econometrica, 66, 1127--1162) and the existing SCD model (Bauwens and...