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

---- Acknowledgements -----

The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. For outstanding research assistance we thank Matthew Klein. For financial support we thank the U.S. National Science Foundation and the Wharton Financial Institutions Center. For helpful comments we thank Emily Fox, Aureo de Paula and Kevin Song, and seminar participants at the University of Pennsylvania. All errors are ours alone.

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