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 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.