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 …

The main goal of this paper is to gain insights into the dependence structure between the duration and trading volume … distribution) can be replaced by a logarithmic specification with more-flexible conditional distributions. The price duration and … trading volume associated with this duration exhibit dependence in the tails of distribution. We may conclude that high …