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

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 exh...

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Veröffentlicht in:	Journal of economic surveys 2019-02, Vol.33 (1), p.252-273
Hauptverfasser:	Bhogal, Saranjeet Kaur, Thekke Variyam, Ramanathan
Format:	Artikel
Sprache:	eng
Schlagworte:	Autoregressive conditional duration model Conditional duration model Economic models Finance Financial market Generalized duration model High frequency trading High‐frequency data Literature reviews Second generation Stochastic conditional duration model
Online-Zugang:	Volltext
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