the program. The literature uses linear probability models and (Cox) proportional hazard models to predict duration … outcomes. These either focus on one threshold duration or impose proportionality. In this paper we propose a nonparametric …

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 …