A Markov-switching multifractal inter-trade duration model, with application to US equities

DOI10.1016/j.jeconom.2013.04.016zbMath1288.91140OpenAlexW3022804369WikidataQ56609283 ScholiaQ56609283MaRDI QIDQ2453090

Frank Schorfheide, Francis X. Diebold, Fei Chen

Publication date: 6 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w18078.pdf

zbMATH Keywords

point processlong memoryliquiditymarket microstructureregime-switching modeltime deformationhigh-frequency trading data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Trade models (91B60) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (8)

Extension and verification of the asymmetric autoregressive conditional duration models ⋮ Statistical tests of distributional scaling properties for financial return series ⋮ Stationarity and ergodicity of Markov switching positive conditional mean models ⋮ Review of statistical approaches for modeling high-frequency trading data ⋮ On an independent-switching periodic autoregressive conditional duration ⋮ The dynamic mixed hitting-time model for multiple transaction prices and times ⋮ Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space ⋮ Approximate maximum likelihood for complex structural models

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