We introduce continuous-time models that capture the salient features of the short-term interest rate and remain tractable for asset pricing applications. We extend classical specifications within and outside of the affine class to multi-factor settings with latent variables that are readily...

This paper disseminates the survivor function of inter-trade durations as a key feature of the intraday trading process. It sheds light on the time varying trading intensity and, thus, liquidity of a traded asset and the information channels which propagate price signals among asymmetrically...