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A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

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  • Fei Chen
  • Francis X. Diebold
  • Frank Schorfheide

Abstract

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

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18078.

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Date of creation: May 2012
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Publication status: published as Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.
Handle: RePEc:nbr:nberwo:18078

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Cited by:
  1. Wen Cao & Clifford Hurvich & Philippe Soulier, 2012. "Drift in transcation-level asset price models," Working Papers hal-00756372, HAL.
  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. Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
  4. 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.

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