A Markov-switching multifractal inter-trade duration model, with application to US equities

We propose and illustrate a Markov-switching multifractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence and long memory. Empirical exploration suggests MSMD’s superiority relative to leading competitors.

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Year of publication:	2013
Authors:	Chen, Fei ; Diebold, Francis X. ; Schorfheide, Frank
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 177.2013, 2, p. 320-342
Publisher:	Elsevier
Subject:	High-frequency trading data \| Point process \| Long memory \| Time deformation \| Regime-switching model \| Market microstructure \| Liquidity

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Type of publication:	Article
Classification:	C41 - Duration Analysis ; C22 - Time-Series Models ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010709436