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subject:"USA"
~person:"Diebold, Francis X."
~person:"Krishnamurthy, Arvind"
~subject:"Interest rate"
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Diebold, Francis X.
Krishnamurthy, Arvind
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18
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13
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12
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11
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ECONIS (ZBW)
12
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1
A Markov-Switching Multifractal Inter-Trade Duration Model, with Application to US Equities
Chen, Fei
-
2013
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...
Persistent link: https://www.econbiz.de/10013077131
Saved in:
2
A Markov-switching multi-fractal inter-trade duration model, with application to U.S. equities
Chen, Fei
;
Diebold, Francis X.
;
Schorfheide, Frank
-
2012
Persistent link: https://www.econbiz.de/10009625203
Saved in:
3
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
Chen, Fei
-
2012
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...
Persistent link: https://www.econbiz.de/10012460581
Saved in:
4
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
Chen, Fei
-
2012
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...
Persistent link: https://www.econbiz.de/10013106661
Saved in:
5
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
Chen, Fei
-
2012
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...
Persistent link: https://www.econbiz.de/10013106788
Saved in:
6
Sizing up repo
Krishnamurthy, Arvind
;
Nagel, Stefan
;
Orlov, Dmitry
- In:
The journal of finance : the journal of the American …
69
(
2014
)
6
,
pp. 2381-2417
Persistent link: https://www.econbiz.de/10010498738
Saved in:
7
A Markov-switching multi-fractal inter-trade duration model, with application to US equities
Chen, Fei
;
Diebold, Francis X.
;
Schorfheide, Frank
-
2012
Persistent link: https://www.econbiz.de/10009571706
Saved in:
8
Sizing up repo
Krishnamurthy, Arvind
;
Nagel, Stefan
;
Orlov, Dmitry
-
2012
Persistent link: https://www.econbiz.de/10009501909
Saved in:
9
Sizing up repo
Krishnamurthy, Arvind
;
Nagel, Stefan
;
Orlov, Dmitry
-
2012
Persistent link: https://www.econbiz.de/10009512207
Saved in:
10
The effects of quantitative easing on interest rates : channels and implications for policy
Krishnamurthy, Arvind
;
Vissing-Jørgensen, Annette
- In:
Brookings papers on economic activity : BPEA
(
2011
)
2
,
pp. 215-287
Persistent link: https://www.econbiz.de/10009659891
Saved in:
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