1. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
2. Alfonso Dufour & Robert F. Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 99-15, Department of Economics, UC San Diego. [Downloadable!]
   Other versions:
   • Alfonso Dufour & Robert Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 1999-15, Department of Economics, UC San Diego. [Downloadable!]
   • Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December. [Downloadable!] (restricted)
3. Robert F. Engle, 1996. "The Econometrics of Ultra-High Frequency Data," NBER Working Papers 5816, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Robert F. Engle, 1996. "The Econometrics of Ultra-High Frequency Data," University of California at San Diego, Economics Working Paper Series 96-15, Department of Economics, UC San Diego. [Downloadable!]
   • Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November. [Downloadable!] (restricted)
5. Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers 505, Massachusetts Institute of Technology (MIT), Department of Economics.
6. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June. [Downloadable!] (restricted)
7. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
8. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June. [Downloadable!] (restricted)
9. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September. [Downloadable!] (restricted)

Cited by:
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1. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
2. Chiara Scotti, 2006. "A bivariate model of Fed and ECB main policy rates," International Finance Discussion Papers 875, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
3. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March. [Downloadable!] (restricted)
4. Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
5. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society. [Downloadable!]
6. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
   Other versions:
   • Luc Bauwens & Nikolaus Hautsch, 2007. "Modelling Financial High Frequency Data Using Point Processes," SFB 649 Discussion Papers SFB649DP2007-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
   • BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Modelling financial high frequency data using point processes," CORE Discussion Papers 2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
7. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2004. "Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure," Working Papers 09-2004, Singapore Management University, School of Economics. [Downloadable!]
8. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-. [Downloadable!]
9. Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March. [Downloadable!] (restricted)
10. GRAMMIG, Joachim & HEINEN, AndrŽas & RENGIFO, Erick, 2004. "Trading activity and liquidity supply in a pure limit order book market," CORE Discussion Papers 2004058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
11. Spierdijk, L., 2002. "An empirical analysis of the role of the trading intensity in information dissemination on the NYSE," Discussion Paper 30, Tilburg University, Center for Economic Research. [Downloadable!]
12. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    Other versions:
    • Stanislav Anatolyev & Dmitry Shakin, 2007. "Trade intensity in the Russian stock market: dynamics, distribution and determinants," Applied Financial Economics, Taylor and Francis Journals, vol. 17(2), pages 87-104, January. [Downloadable!] (restricted)
13. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, EconWPA. [Downloadable!]
    Other versions:
    • Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," CoFE Discussion Paper 99-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
14. Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
    • Clive Bowsher, 2002. "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Papers 2002-W22, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
15. Erick Rengifo & Andresas Heinen, 2004. "Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas," Econometric Society 2004 Far Eastern Meetings 755, Econometric Society. [Downloadable!]
16. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    Other versions:
    • Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," NBER Working Papers 10423, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," CFS Working Paper Series 2004/11, Center for Financial Studies. [Downloadable!]
    • Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," Scandinavian Journal of Economics, Blackwell Publishing, vol. 106(2), pages 165-185, 06. [Downloadable!] (restricted)
17. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O., 2002. "The price impact of trades in illiquid stocks in periods of high and low market activity," Discussion Paper 29, Tilburg University, Center for Economic Research. [Downloadable!]
18. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society. [Downloadable!]
19. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O. van, 2002. "Modeling comovements in trading intensities to distinguish sector and stock specific news," Discussion Paper 69, Tilburg University, Center for Economic Research. [Downloadable!]
20. Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," UmeÃ¥ Economic Studies 657, Umeå University, Department of Economics. [Downloadable!]
21. GIOT, Pierre & ,, 1999. "Time transformations, intraday data and volatility models ," CORE Discussion Papers 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]