A Markov-Switching Multifractal Inter-Trade Duration Model, with Application to US 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:	2013
Authors:	Chen, Fei
Other Persons:	Diebold, Francis X. (contributor) ; Schorfheide, Frank (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| USA \| United States \| Markov-Kette \| Markov chain \| Finanzmarkt \| Financial market \| Wertpapierhandel \| Securities trading \| Theorie \| Theory

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Extent:	1 Online-Ressource (62 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Econometrics (2013), Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 11, 2013 erstellt
Other identifiers:	10.2139/ssrn.2316241 [DOI]
Classification:	C41 - Duration Analysis ; C22 - Time-Series Models ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013077131