Abstract: Because modeling forultra-high frequency data can not only make up the shortcoming of modeling for data which have the same interval traditionally, but also discern microstructure of financial market.So, in recent years, it has become a bran-new field to research the ultra-high frequency data of financial market.This paper surveys and assesses the development and main fruits of finance market durations models and estimation methods of these models in the recent 10 years.Then, durations models and its estimation methods are compared with each other.In the end, we also point out the new areas of future research along these lines.

Key words: ultra-high frequency data, durations, ACD models, SCD models