Volatility estimation on the basis of price intensities

By F. Gerhard, Nikolaus Hautsch. 2001

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Stochastic Conditional Intensity Processes (2006, background): “The use of price durations opens up alternative ways of estimating volatility and price change risks [Engle and Russell (1997), Gerhard and Hautsch (2002)].”
Modelling daily value-at-risk using realized volatility and arch type models (2001, unknown): “As in Giot and Laurent (2001b) or Giot (2003), we use a standardized version of the skewed Student distribution introduced by Fernández and Steel (1998).”
Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, methodology): “Volume durations were introduced by Gouriéroux et al. (1999) as reasonable measures of liquidity that account simultaneously for the time and volume dimensions of the trading process.”