A Markov-switching multifractal inter-trade duration model, with application to US equities
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Publication:2453090
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
point processlong memoryliquiditymarket microstructureregime-switching modeltime deformationhigh-frequency trading data
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)
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