Financial market price formation and exchange activity can be investigated by means of ultra-high frequency data. In this article, we investigate an extension of the Autoregressive Conditional Duration (ACD) model of Engle and Russell (1998) by adopting a mixture of distribution approach with...

We establish that the debate between Eeckhout (2004; 2009) and Levy (2009) has still not resolved the key issue of whether the distribution of large US urban places in 2000 is consistent with a lognormal for the intire size range. We resolve this by introducing a new distribution function which...

A brief review is given of procedures for the collective analysis of a large number of significance tests. A simple procedure previously supplied for isolating 'real' effects on the basis of a large number of significance tests is generalized to deal with two-sided tests and is also related more...

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of...

Financial risk management typically deals with low-probability events in the tails of asset return distributions. To better capture the behavior of these tails, several studies have clearly highlighted that one should rely on a methodology that directly focuses on the tails of the distribution...

We introduce a new class of distributions to model directional data, based on hyperspherical log-splines. The class is very flexible and can be used to model data that exhibits features that cannot be accommodated by typical parametric distributions, such as asymmetries and multimodality. The...

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of...

This paper reconsiders return-volume dependence for the U.S. and six international equity markets. We contribute to previous work by proposing surprise volume as a new proxy for private information flow and apply extreme value theory in studying dependence for large volume and return, i.e. under...