A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

Fei Chen, Francis Diebold and Frank Schorfheide

No 18078, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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 relative to leading competitors.

JEL-codes: C22 C41 (search for similar items in EconPapers)
Date: 2012-05
Note: AP
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Citations: View citations in EconPapers (5)

Published as Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.

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Journal Article: A Markov-switching multifractal inter-trade duration model, with application to US equities (2013)
Working Paper: A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (2012)
Working Paper: A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (2012)
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