Diebold, Francis; Schorfheide, Frank; Chen, Fei - National Bureau of Economic Research (NBER) - 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...