The recent availability of large data sets covering single transactions on financial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of financial markets and its dynamics. The specific nature of transaction data such as the...

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues