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

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

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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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
DOI: 10.1016/j.jeconom.2013.04.016
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