Dufour and Engle (2000) have shown that the duration between subsequent trade events carries informational content with respect to the evolution of the fundamental asset value. Their analysis supports the notion that "no trade means no information" derived from Easley and O'Hara's (1992)...

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...