Zikes, Filip; Barunik, Jozef; Shenai, Nikhil - arXiv.org - 2012
This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential $\beta$-mixing as we show in the paper, it is capable of generating highly...