We consider multi-resolution time series models and their application to high-frequency financial data. An individual transaction share price of a specific firm is subject to market microstructure noise. Therefore, we propose trading duration time weighted averages over given time intervals....

Multi-state models provide a unified framework for the description of the evolution of discrete phenomena in continuous time. One particular example are Markov processes which can be characterised by a set of time-constant transition intensities between the states. In this paper, we will extend...