NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Fei Chen

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Working Papers and Chapters

May 2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
with Francis X. Diebold, Frank Schorfheide: w18078
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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