Parametric Quantile Autoregressive Conditional Duration Models With Application to Intraday Value‐at‐Risk Forecasting

ABSTRACT The modeling of high‐frequency data that qualify financial asset transactions has been an area of relevant interest among statisticians and econometricians—above all, the analysis of time series of financial durations. Autoregressive conditional duration (ACD) models have been the main tool for modeling financial transaction data, where duration is usually defined as the time interval between two successive events. These models are …