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.

download in pdf format
   (1033 K)

email paper

This paper is available as PDF (1033 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

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. citation courtesy of

Users who downloaded this paper also downloaded these:
Andersen, Bollerslev, Christoffersen, and Diebold w18084 Financial Risk Measurement for Financial Risk Management
Vayanos and Wang w18251 Market Liquidity -- Theory and Empirical Evidence
Zhang, Mykland, and Aït-Sahalia w10111 A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
Aït-Sahalia and Yu w13825 High Frequency Market Microstructure Noise Estimates and Liquidity Measures
Bianchi, Boz, and Mendoza w18036 Macro-Prudential Policy in a Fisherian model of Financial Innovation
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us