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...

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...

numerical illustrations of our procedure.

Two often-divergent U.S. GDP estimates are available, a widely-used expenditure side version, GDPE, and a much less widely-used income-side version, GDPI . We propose and explore a "forecast combination" approach to combining them. We then put the theory to work, producing a superior combined...

Two often-divergent U.S. GDP estimates are available, a widely-used expenditure-side version GDPE, and a much less widely-used income-side version GDI . The authors propose and explore a "forecast combination" approach to combining them. They then put the theory to work, producing a superior...

We provide a new and superior measure of U.S. GDP, obtained by applying optimal signal-extraction techniques to the (noisy) expenditure-side and income-side estimates. Its properties - particularly as regards serial correlation - differ markedly from those of the standard expenditure-side...

We provide a new and superior measure of U.S. GDP, obtained by applying optimal signal-extraction techniques to the (noisy) expenditure-side and income-side estimates. Its properties -- particularly as regards serial correlation -- differ markedly from those of the standard expenditure-side...

The Economic and trade relationship between the EU and ASEAN is determined by on the ¡°soft power¡± strategy of the EU, which is different from that of the US and Japan. On the other hand, the relationship is also a reflection of economic interest demands of the EU¡¯s trade and investment....

Inference for variance components in linear mixed models of ANOVA type, including estimation and testing, has been investigated when the number of fixed effects is fixed. However, for high-dimensional data, this number is large and would be regarded as a divergent value as the sample size goes...

<Para ID="Par1">The fluxes of water and energy between the land surface and atmosphere involve many complex non-linear processes. In this study, the Noah and Noah-MP land surface models with multiple groundwater sub-models are used to assess how the treatment of canopy processes and interactions with deep...</para>