We survey the modelling of financial markets transaction data characterized by irregular
spacing in time, in particular so-called financial durations. We begin by reviewing the …

We introduce a class of models for the analysis of durations, which we call stochastic
conditional duration (SCD) models. These models are based on the assumption that the …

Over the past 25 years, applied econometrics has undergone tremen dous changes, with
active developments in fields of research such as time series, labor econometrics, financial …

This book provides a methodological framework to model univariate and multivariate
irregularly spaced financial data. It gives a thorough review of recent developments in the …

This paper proposes an asymmetric autoregressive conditional duration (ACD) model,
which extends the ACD model of Engle and Russell (1998). The asymmetry consists of …

In this article we introduce the concept of excess volume durations, which are defined as the
time until a given amount of buy or sell excess volume is traded on the market. Excess …

Almost all economic activities in modern societies are scattered through space and time.
Transport processes, as a consequence, pervade everyday life and they have deep impact …

Due to the permanently increasing availability of high-frequency financial data, the empirical
analysis of trading behavior and the modelling of trading processes has become a major …

This paper proposes an asymmetric autoregressive conditional duration (ACD) model,
which extends the ACD model of Engle and Russell (1998). The asymmetry consists of …

Purpose–This paper is aimed to investigate the impact of different categories of traders on
price and volume durations at Euronext Paris. The two series are respectively related to the …