groups. An appli- cation to a panel of Austrian wage mobility data leads to an interesting segmentation of the Austrian labor …

paper discusses a panel autoregressive model with multiple breaks present in all parameters, i.e. in the autoregressive …

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 …