Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models

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Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, methodology): “To account for multivariate structures, a continuous-time framework is more appropriate in which the intensity function is directly modeled (see Hautsch (2004) for a discussion).”
Stochastic Conditional Intensity Processes (2006, methodology): “Using limit order book data from the Australian Stock Exchange, Hall and Hautsch (2004, 2006) found co-movements in the arrival rates of market orders, limit orders, as well as cancellations on the different sides of the market.”