A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
NBER Working Paper No. 18078
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.
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
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