Article2018

CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS

28 citations0/0 files storedJournal of Economic Surveys

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

Abstract This paper reviews the recent literature on conditional duration modeling in high‐frequency finance. These conditional duration models are associated with the time interval between trades, price, and volume changes of stocks, traded in a financial market. An earlier review by Pacurar provides an exhaustive survey of the first and some of the second generation conditional duration models. We consider almost all of the third‐generation and some of the second‐generation conditional duration models. Notable applications of these models and related empirical studies are discussed. The paper may be seen as an extension to Pacurar.

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2002Dynamic Conditional Correlation 1994Comparing Predictive Accuracy 2002Is Information Risk a Determinant of Asset Returns?1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 1987Constraints on short-selling and asset price adjustment to private information 2005A Test for Superior Predictive Ability 1992Time and the Process of Security Price Adjustment 2010Analysis of Financial Time Series

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