A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
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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
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美国国家经济研究局创建时间：
2012-05-01
