A Markov-switching multifractal inter-trade duration model, with application to US equities
نویسندگان
چکیده
منابع مشابه
A Markov-switching multifractal inter-trade duration model, with application to US equities
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. Acknowledgments: For outstanding research assistance we thank Matthew Klei...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2013
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2013.04.016