In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

We give an appraisal of the New Keynesian Phillips curve (NPCM) as an empirical model of European inflation. The favourable evidence for NPCMs on euro-area data reported in earlier studies is shown to depend on specific choices made about estimation methodology. The NPCM can be re-interpreted as...

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...