A continuous time econometric modelling framework for multivariate financial market event (or `transactions`) data is developed in which the model is specified via the vector stochastic intensity. This has the advantage that the conditioning sigma-field is updated continuously in time as new...

A continuous time econometric modelling framework for multivariate financial market event (or `transactions') data is developed in which the model is specified via the vector stochastic intensity. This has the advantage that the conditioning sigma-field is updated continuously in time as new...

One of the early examples of stochastic volatility models is Clark [1973]. He suggested that asset price movements should be tied to the rate at which transactions occur. To accomplish this, he made a distinction between transaction time and calendar time. This framework has hitherto been...