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 ß-mixing as we show in …-memory duration models in an out-of-sample forecasting exercise based on price durations of three major foreign exchange futures …

develop a present value model to argue that a general increase in equity duration can explain these findings. As cash flows to …

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 …-memory duration models in an out-of-sample forecasting exercise based on price durations of three major foreign exchange futures …