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~isPartOf:"PIER Working Paper"
~person:"Diebold, Francis X."
~person:"Mills, Terence C."
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Diebold, Francis X.
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A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
Chen, Fei
-
2012
We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority...
Persistent link: https://www.econbiz.de/10013106788
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Time
Series
Analysis
Diebold, Francis X.
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2006
We provide a concise overview of
time
series
analysis
in the time and frequency domains, with lots of references for …
Persistent link: https://www.econbiz.de/10012733371
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