This paper extends a stochastic conditional duration (SCD) model for financial transaction data to allow for … correlation between error processes or innovations of observed duration process and latent log duration process with the aim of … filter technique to construct one-step-ahead in-sample and out-of-sample duration forecasts of the fitted models …

This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the … transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support … discrimination, we employ deviance information criteria, which does not depend on the number of model parameters directly. Duration …

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 …

We introduce a class of models for the analysis of durations, which we call stochastic conditional duration (SCD …

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 …

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 …

This paper proposes a threshold stochastic conditional duration (TSCD) model to capture the asymmetric property of … financial transactions. The innovation of the observable duration equation is assumed to follow a threshold distribution with … assumed for the innovation of the duration equation …