In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

We investigate high-frequency volatility models for analyzing intra-day tick by tick stock price changes using Bayesian estimation procedures. Our key interest is the extraction of intra-day volatility patterns from high-frequency integer price changes. We account for the discrete nature of the...