Katarzyna Bien, Ingmar Nolte, and Winfried Pohlmeier, "An Inflated 
Multivariate Integer Count Hurdle Model: An Application to Bid and Ask 
Quote Dynamics", Journal of Applied Econometrics, Vol. 26, No. 4, 2011, 
pp. 669-707.

The high-frequency data used in the paper come from the Trades and Quotation
(TAQ) database. The data contains time-stamped quotations of Citicorp stock
traded at the NYSE over the period from 20th February to 23rd February 2001.

In the study, 30-second bid and ask quote changes are constructed from the
irregularly-spaced quote data. The study covers observations recorded from
9:35 EST until 16:00 EST.

The data are in an ASCII file (in DOS format) called tqdata.txt.
It contains 3080 rows and eight columns - in order:

1.	year
2.	month
3.	day
4.	time in number of seconds after the 9:35 EST
5.	best ask quote
6.	best bid quote
7.	30-second change of the ask quote in number of ticks
8.	30-second change of the bid quote in number of ticks

This file is zipped in the file bnp-data.zip. Unix/Linux users should use
"unzip -a".