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...

Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets. The compared models are the autoregressive conditional duration (ACD) models, their logarithmic versions, in each case with three...

We consider the estimation of a large number of GARCH models, say of the order of several hundreds. Especially in the multivariate case, the number of parameters is extremely large. To reduce this number and render estimation feasible, we regroup the series in a small number of clusters. Within...