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3. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
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5. Dynamic latent factor models for intensity processes. (2003). Hautsch, Nikolaus ; Bauwens, Luc.
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1. An analysis of intraday market behaviour before takeover announcements. (2012). Souza, Reinaldo Castro ; Stevenson, Maxwell J. ; Rodrigues, Bruno Dore .
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2. The Dyanamic Location/Scale Model: with applications to intra-day financial data. (2012). Harvey, Andrew ; Andres, Philipp.
   In: Cambridge Working Papers in Economics.
   RePEc:cam:camdae:1240.

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3. Multistate asymmetric ACD model: an application to order dynamics in the EUR/PLN spot market. (2011). Bień-Barkowska, Katarzyna.
   In: NBP Working Papers.
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4. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market. (2010). Maheu, John ; Liu, Chun.
   In: Working Papers.
   RePEc:tor:tecipa:tecipa-401.

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5. Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market. (2009). Allen, David ; Lazarov, Zdravetz ; Peiris, Shelton.
   In: Mathematics and Computers in Simulation (MATCOM).
   RePEc:eee:matcom:v:79:y:2009:i:8:p:2535-2555.

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6. The econometrics of randomly spaced financial data: a survey. (2009). Monteiro, Andre.
   In: DES - Working Papers. Statistics and Econometrics. WS.
   RePEc:cte:wsrepe:ws097924.

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7. Time-Varying Autoregressive Conditional Duration Model. (2008). BORTOLUZZO, ADRIANA ; Toloi, Clelia M. C., ; Morettin, Pedro A..
   In: Insper Working Papers.
   RePEc:ibm:ibmecp:wpe_174.

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8. Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading. (2007). Tse, Yiu Kuen ; Warachka, Mitch ; Ting, Christopher ; Tay, Anthony.
   In: Finance Working Papers.
   RePEc:eab:financ:22483.

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9. Efficient importance sampling for ML estimation of SCD models. (2007). Galli, Fausto ; Bauwens, Luc.
   In: Discussion Papers (ECON - Département des Sciences Economiques).
   RePEc:ctl:louvec:2007032.

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10. Nonparametric Density Estimation for Positive Time Series. (2006). Rombouts, Jeroen ; Bouezmarni, Taoufik.
    In: Cahiers de recherche.
    RePEc:iea:carech:0609.

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11. Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2006). Gallo, Giampiero ; De Luca, Giovanni.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2006_12.

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12. Modelling Financial High Frequency Data Using Point Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc ; Nikolaus, HAUTSCH ; Luc, Bauwens.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
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13. Deciding between GARCH and stochastic volatility via strong decision rules. (2006). Hafner, Christian ; Preminger, Arie.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2006042.

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14. Stochastic volatility duration models. (2004). Jasiak, Joann ; gourieroux, christian ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:119:y:2004:i:2:p:413-433.

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15. Testing weak exogeneity in the exponential family : an application to financial point processes. (2004). Veredas, David ; Dolado, Juan ; Rodriguez-Poo, Juan.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2004049.

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16. What pieces of limit order book information are informative ?. (2004). Veredas, David ; PASCUAL, ROBERTO.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2004033.

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17. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:502.

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18. A family of autoregressive conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:501.

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19. Dynamic latent factor models for intensity processes. (2003). Hautsch, Nikolaus ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2003103.

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20. The moments of Log-ACD models. (2003). Giot, Pierre ; Galli, Fausto ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2003011.

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21. A family of autoregressive conditional duration models. (2002). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:440.

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22. Volatility estimation on the basis of price intensities. (2002). Hautsch, Nikolaus ; Gerhard, Frank.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:57-89.

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23. Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities. (2001). Hautsch, Nikolaus ; Pohlmeier, Winfried.
    In: CoFE Discussion Papers.
    RePEc:zbw:cofedp:0105.

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24. On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach.. (2001). Veredas, David ; Espasa, Antoni ; Rodriguez-Poo, Juan M..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws013321.

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25. A family of autoregressive conditional duration models. (2001). Grammig, Joachim ; Fernandes, Marcelo.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2001036.

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26. Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model. (2000). Hautsch, Nikolaus ; Gerhard, Frank.
    In: CoFE Discussion Papers.
    RePEc:zbw:cofedp:0020.

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27. A Comparison of Financial Duration Models via Density Forecasts. (2000). Veredas, David ; Grammig, Joachim ; Giot, Pierre ; Bauwens, Luc.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0810.

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28. A comparison of financial duration models via density forecasts. (2000). Veredas, David ; Grammig, Joachim ; Giot, Pierre ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2000060.

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