NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Fei Chen, Francis X. Diebold, Frank Schorfheide

NBER Working Paper No. 18078
Issued in May 2012
NBER Program(s):   AP

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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Document Object Identifier (DOI): 10.3386/w18078

Published: 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.

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