CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS
综述了高频金融中条件久期模型的最新发展，涵盖第三代及部分第二代模型，并讨论了相关应用和实证研究，可作为Pacurar综述的补充。
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.