A Markov-switching multifractal inter-trade duration model, with application to US equities
Fei Chen; Francis X. Diebold; Frank Schorfheide
| Year of publication: |
2013
|
|---|---|
| Authors: | Chen, Fei ; Diebold, Francis X. ; Schorfheide, Frank |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 177.2013, 2, p. 320-342
|
| Subject: | High-frequency trading data | Point process | Long memory | Time deformation | Regime-switching model | Market microstructure | Liquidity | Marktmikrostruktur | Zeitreihenanalyse | Time series analysis | Markov-Kette | Markov chain | Finanzmarkt | Financial market | Theorie | Theory | Elektronisches Handelssystem | Electronic trading | Wertpapierhandel | Securities trading | Volatilität | Volatility | USA | United States | ARMA-Modell | ARMA model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010255140