A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
收藏NBER2012-05-01 更新2025-01-04 收录
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https://www.nber.org/papers/w18078
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2012-05-01
