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A Markov-switching multifractal inter-trade duration model, with application to US equities

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  • Chen, Fei
  • Diebold, Francis X.
  • Schorfheide, Frank

Abstract

We propose and illustrate a Markov-switching multifractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence and long memory. Empirical exploration suggests MSMD’s superiority relative to leading competitors.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 177 (2013)
Issue (Month): 2 ()
Pages: 320-342

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Handle: RePEc:eee:econom:v:177:y:2013:i:2:p:320-342

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Web page: http://www.elsevier.com/locate/jeconom

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Keywords: High-frequency trading data; Point process; Long memory; Time deformation; Regime-switching model; Market microstructure; Liquidity;

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Cited by:
  1. Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
  2. Kang, Bo Soo & Ryu, Doojin & Ryu, Doowon, 2014. "Phase-shifting behaviour revisited: An alternative measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 167-173.
  3. Renault, Eric & van der Heijden, Thijs & Werker, Bas J.M., 2014. "The dynamic mixed hitting-time model for multiple transaction prices and times," Journal of Econometrics, Elsevier, vol. 180(2), pages 233-250.
  4. Wen Cao & Clifford Hurvich & Philippe Soulier, 2012. "Drift in transcation-level asset price models," Working Papers hal-00756372, HAL.

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