Article ID Journal Published Year Pages File Type
5096276 Journal of Econometrics 2013 23 Pages PDF
Abstract
We propose and illustrate a Markov-switching multifractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence and long memory. Empirical exploration suggests MSMD's superiority relative to leading competitors.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
, , ,