Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of Econometrics 177 (2013) 2, pp. 320-342
We propose and illustrate a Markov-switching multifractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence and long memory. Empirical exploration suggests MSMD’s superiority relative...