, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown … duration is estimated. We find evidence that drawdown duration varies systematically with expected return from the carry trade …

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 … asymptotic normality for general MSMD specifications. We show that the Whittle estimation is a computationally simple and fast …

This paper uses analysts' forecasts to estimate a share's equity duration, a measure of a company's average cash …-flow maturity. We find that short duration equity is associated with high expected and realized returns, which cannot be attributed … to the shares' systematic risk exposure as implied by the market beta. Instead, we show that equity duration is a priced …

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …