In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration modelsDuration, Intensity, Point process, High frequency data, ACD models

Luc, BAUWENS

Nikolaus, HAUTSCH

English

Research Papers in Economics

A cluster process representation of a selfexciting process.

A comparison of ¯nancial duration models via density forecasts.

A family of autoregressive conditional duration models.

A model of the federal funds rate target.

A simple proof of the multivariate random time change theorem for point processes.

A test for independence based on the correlation dimension. Econometric Reviews,

Assessing the risk of liquidity suppliers on the basis of excess demand intensities.

Asymmetric ACD models: Introducing price information in ACD models with a two state transition model.

Autoregressive conditional duration: A new model for irregularly spaced transaction data.

D¶ emonstration simpli¯¶ ee d'un th¶ eorµ eme Knight.

Dependent events and changes of time. Working Paper,

Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies.

Durations, volume and the prediction of ¯nancial returns in transaction time.

Econometric analysis of ¯nancial trade processes by discrete mixture duration models. Available at http://ssrn.com/abstract=766664.

Econometric Modelling of Stock Market Intraday Activity.

Economic duration data and hazard functions.

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to

Estimation of the stochastic conditional duration model via alternative methods{ecf and gmm.

Evaluating density forecasts, with applications to ¯nancial risk management.

Evaluating models of autoregressive conditional duration.

Finite and in¯nite mixtures for ¯nancial durations.

Flexible parametric estimation of duration and competing risk models.

Garch and irregularly spaced data.

GARCH for irregularly spaced ¯nancial data:

Generalized autoregressive conditional heteroskedasticity.

Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange.

Market risk models for intraday data.

MCMC based estimation of Markov switching ARMA-GARCH models.

Measuring and testing the impact of news on volatility.

Measuring the information content of stock trades.

Measuring the resiliency of an electronic limit order book. Working Paper, All Souls College,

Mixing and moment properties of various GARCH and stochastic volatility models.

Mixture processes for ¯nancial intradaily durations.

Modeling the interdependence of volatility and inter-transaction duration process.

Modelling ¯nancial transaction price movements: a dynamic integer count model.

Modelling Irregularly Spaced Financial Data.

Modelling security markets in continuous time: Intensity based, multivariate point process models.

Modelling the buy and sell intensity in a limit order book market.

Monte Carlo maximum likelihood estimation for non-Gaussian state space models.

Multivariate autoregressive modelling of time series count data using copulas. Revision of CORE Discussion Paper 2003/25, forthcoming in

New frontiers for ARCH models.

Non-parametric speci¯cation tests for conditional duration models.

On the bias in °exible functional forms and an essential unbiased form: The Fourier °exible form.

Order aggressiveness and order book dynamics.

Partial likelihood.

Persistence in intratrade durations.

Point Processes and their Statistical Inference.

Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Reviews,

Regime switching ACD models. Forthcoming CORE Discussion Paper,

Regression models and life tables.

Semiparametric duration models.

Spectra of some self-exciting and mutually exciting point processes.

Stability of nonlinear Hawkes processes.

Stochastic conditional duration models with `leverage e®ect' for ¯nancial tranbsaction data.

Stochastic conditional intensity processes.

Stochastic volatility duration models.

Testing continuous-time models of the spot interest rate. Review of Financial Studies,

Testing the conditional mean function of autoregressive conditional duration models.

The ACD model: Predictability of the time between consecutive trades. Working Paper,

The Econometric Analysis of Transition Data.

The econometrics of ultra-high-frequency data.

The logarithmic ACD model: An application to the Bid/Ask quote process of two NYSE stocks. Annales d'Economie et de Statistique,

The multi-state latent factor intensity model for credit rating transitions. Discussion Paper TI2005-071/4,

The regime switching ACD framework: The use of the comprehensive family of distributions. Available at http://ssrn.com/abstract=766684.29

The Statistical Analysis of Failure Time Data.

The stochastic conditional duration model: A latent factor model for the analysis of ¯nancial durations.

Time and process of security price adjustment.

Time-varying mixing weights in mixture autoregressive conditional duration models.

Timing of orders, order aggressiveness and the order book at the Paris Bourse. Annales d'Economie et de Statistique,

Trades and quotes: A bivariant point process.

Volatility estimation on the basis of price intensities.

Modelling Financial High Frequency Data Using Point Processes

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Modelling Financial High Frequency Data Using Point Processes

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