A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
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- 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.
- Fei Chen & Francis X. Diebold & Frank Schorfheide, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," NBER Working Papers 18078, National Bureau of Economic Research, Inc.
- Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," Working Papers 12-09, University of Pennsylvania, Wharton School, Weiss Center.
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More about this item
Keywords
High-frequency trading data; point process; long memory; time deformation; scaling law; self-similarity; regime-switching model; market microstructure; liquidity;All these keywords.
JEL classification:
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-05-22 (Econometrics)
- NEP-ETS-2012-05-22 (Econometric Time Series)
- NEP-MST-2012-05-22 (Market Microstructure)
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