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A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities / Fei Chen, Francis X. Diebold, Frank Schorfheide.
- Format:
- Book
- Author/Creator:
- Chen, Fei.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w18078.
- NBER working paper series no. w18078
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2012.
- Summary:
- 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.
- Notes:
- Print version record
- May 2012.
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