This paper has been announced in the following NEP Reports:

• NEP-ALL-2006-10-28 (All new papers)
• NEP-FIN-2006-10-28 (Finance)
• NEP-MST-2006-10-28 (Market Microstructure)
• NEP-TRA-2006-10-28 (Transition Economics)

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19. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
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22. Hanousek, Jan & Podpiera, Richard, 2003. "Informed trading and the bid-ask spread: evidence from an emerging market," Journal of Comparative Economics, Elsevier, vol. 31(2), pages 275-296, June. [Downloadable!] (restricted)
23. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 3-40. [Downloadable!] (restricted)
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25. Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February. [Downloadable!] (restricted)
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    • Bernd Hayo & Ali M. Kutan, 2004. "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," William Davidson Institute Working Papers Series 2004-656, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
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Cited by:
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1. Zhi-Qiang Jiang & Wei Chen & Wei-Xing Zhou, 2008. "Detrended fluctuation analysis of intertrade durations," Quantitative Finance Papers 0806.2444, arXiv.org. [Downloadable!]
2. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany. [Downloadable!]