A MARKOV-SWITCHING MULTI-FRACTAL INTER-TRADE DURATION MODEL, WITH APPLICATION TO U.S. EQUITIES
| Year of publication: |
2012
|
|---|---|
| Authors: | Chen, Fei ; Diebold, Francis X ; Schorfheide, Frank |
| Published in: |
Working paper / National Bureau of Economic Research, Inc. - Cambridge, Mass, ISSN 0898-2937, ZDB-ID 12239057. - 2012, 18078
|