Ultra-high frequency data are complete transactions data which inherently arrive at random times. Marked point processes provide a theoretical framework for analysis of such data sets. The ACD model developed by Engle and Russell (1995) is then applied to IBM transactions data to develop...

There exists a small sample bias in predictive regressions, when a rate of return is regressed on a lagged stochastic regressor, and the regression disturbance is correlated with the regressors' innovations. Although this bias can be a serious concern in time-series predictive regressions, it is...