Nonparametric specification tests for conditional duration models

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Density estimation using inverse and reciprocal inverse Gaussian kernels (2004, background): “Obviously the new classes of kernels considered here can also be exploited in regression curve estimation or hazard rate estimation (see Fernandes and Grammig (2000) for a convincing use in goodness-of-fit testing procedures for duration models).”
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (2010, unknown): “The feasible test statistic is given by Tn = nnz √ b π̂ ∫ ∞ 0 { g̃X(x)− gX ( x, ϑ̂g )}2 dx. (14) Asymptotic normality of Tn could be shown using the results of Fernandes and Monteiro (2005).”
Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, background): “In a Monte Carlo exercise, Fernandes and Grammig (2005) find poor performance of this overdispersion test compared to the nonparametric tests they propose.”
Family of the generalised gamma kernels: a generator of asymmetric kernels for nonnegative data (2015, background): “Fernandes and Grammig (2005) and Fernandes, Mendes, and Scaillet (2011) obtain favorable finite-sample results from applying the G kernel to specification testing for duration models and testing for symmetry, respectively.”