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 …

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 …

Autoregressive Conditional Duration ACD(1,1) modelwith a sufficient number of finite moments yields short memory incounts, while any … Long Memory Stochastic Duration model with $dgt;0$and all finite moments yields long memory in counts, with the same …