Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096276 | Journal of Econometrics | 2013 | 23 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Fei Chen, Francis X. Diebold, Frank Schorfheide,