A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

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.

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Year of publication:	2012-05
Authors:	Diebold, Francis ; Schorfheide, Frank ; Chen, Fei
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	AP published as 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. Number 18078
Classification:	C22 - Time-Series Models ; C41 - Duration Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011271372