In this paper, I examine order submissions and cancellations in the Reuters Dealing 3000 Spot Matching System, the main order-driven market for interbank trading of the euro/złoty (EUR/PLN) currency pair. I generalize the asymmetric autoregressive conditional duration (AACD) model of Bauwens...

The objective of this paper is to propose a market risk measure defined in price event time and a suitable backtesting procedure for irregularly spaced data. Firstly, we combine Autoregressive Conditional Duration models for price movements and a non parametric quantile estimation to derive a...

The study of the determination of the overnight interest rate in the interbank market, and the behaviour of its volatility, gained new insights with contributions from the microstructure theory. The aim of this article is to study the effect of the trade intensity over the volatility of the...

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...

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...

This paper proposes a dynamic proportional hazard (PH) model with non-specified baseline hazard for the modelling of autoregressive duration processes. A categorization of the durations allows us to reformulate the PH model as an ordered response model based on extreme value distributed errors....

In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows beyond the walls of the academia, as the security exchanges recognize the importance of the concept and plan to adopt unique measures of liquidity and publish them in the...