Zikes, Filip; Baruník, Jozef; Shenai, Nikhil - 2015
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 …
