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

Saranjeet Kaur Bhogal and Ramanathan Thekke Variyam

Journal of Economic Surveys, 2019, vol. 33, issue 1, 252-273

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.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jecsur:v:33:y:2019:i:1:p:252-273

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